Jim, I have been pretty successful at doing diagnostics before by taking the assemblies and making them as simple as possible before running any diagnostics. Example, I have imported a Pro/E assembly file and dumbed it down to just what I truely needed and then saved as to make a single solidworks part file and then fixed what I needed. The only time this doesn't work well is for surfaces. You have to fix what surface problems there are before you save as.
BTW, I use 2006 in production and have 2009 loaded and sometimes I use 2009 to fix surface problems because it allows me to fix gaps separetly.
Import Diagnostics is only available on a "naked" imported part. Once you make a change to the part, SolidWorks takes the import diagnostics away from you. I have no idea why it works that way and find it quite infuriating. Your work-around of exporting the part and importing again is the only one I know of.