If you're using Windows Movie Maker, that's probably it.

For the files from Bandicam to work with Sony Vegas change the outputfile to AVI with Audio-Codec: PCM, Stereo and 48000 Hz.

This way you can use the file in Vegas.

And what Codec for video are you using again? I would reccomend trying Lagarith Lossless or, even better, MagicYUV lossless.

k thx