Same problem. I upgraded yesterday and supposedly kept my old messages. I found them in my Library/mail/ various .mbox files /messages/ lists of messages with .emlx extensions. On another user's account I managed to get Mail to work by erasing something or other, I can't remember what, and I parameterised it afresh - it couldn't find the messages from the Tiger version presumably because I had erased something vital, but could import from .mbox files, but only those that had been deliberately exported from another machine beforehand, not the ones carried over in the upgrade. I now think I could have have replaced the basic mailbox POP file trees I had just created with the ones imported from Tiger and which I had saved elsewhere, and it might have worked.
I then switched back to my own account and followed the instructions in your link exactly, and lo and behold all my Tiger Mail messages were duly imported.
Perhaps you erased something else? or moved something?
Best of luck!