Right from what i understand the DXG-595V produces Mov files so they should be compatible. Looking at the Final Cut Express 4 page on the Apple site it appears to be fine.
Would it be possible for you to confirm the format (aka Mov) and also how you are capturing it. Being that it's flash card stuff i assume you're dragging and dropping into FCE from your desktop?
Not 100% sure but it might be one of these things you have to run through iMovie '06 first... I doubt it but you never know.