I have frustratingly observed this too. Have you found any solutions or workarounds?
To answer myself from 2015:
In retrospect I observed rotations not being respected when the Solildworks PCB components coordinate systems' were NOT named "CWX". The CircuitWorks -> Solidworks export would place in the right spot WRT origin, but the rotations from the IDF would NOT be applied. When I renamed origins to CWX and re-exported, it worked just fine.
Tom, I found that it was related to having a hyphen in the component filename. Don't ask me why, but if you eliminate all hyphen named parts, this problem seems to disappear!
Sorry for the late reply, I do not check my account often enough.