Hey I know this issue is getting older by the year...(Greetings from 2018) but I thought I would input my solution, just in case in works for someone later on, because I found this thread first, but none of these solutions worked for me. So, I thought I would drop a possible solution of other's to try. Here goes...
1. Locate your ME1 save game folder. It should be somewhere around here: C:\Users\<Your User>\Documents\BioWare\Mass Effect\Save\
2. Copy your most recent save and the .masseffectprofile
3. Go to you ME2 save game folder. It should be somewhere around here: C:\Users\Matt-i7\Documents\BioWare\Mass Effect 2\Save\ ( If the 'Save' folder isn't there already, just create it)
4. Inside this 'Save folder' create another folder called 'ME1'
5. Once inside the 'ME1' folder, paste the files.
6. Make a copy of your save game(Right-click, Copy, and Paste within the same folder)
7. Rename the copy 'Char_01-60-1-2-5-21-11-2009-56-24.MassEffectSave'
8. Done.
This worked for me. Apparently the save game importer in ME2 doesn't recognize the file unless it's formatted like this. Also, since it's only for formatting, it doesn't seem to matter that the date in the save's name is from 2009 xD. Anyways, Good luck Everyone. Hope this helps!