There are a couple of things going on here.
Firstly, HitFilm projects are always progressive. Even if you import interlaced movies into your HitFilm project, the project itself (the editor timeline, and any composite shot timelines) remains progressive.
As a result, .hfp files that appear as media in Vegas will always be progressive.
So if you have an event of an interlaced movie in Vegas, and then right-click it and choose "Add HitFilm Effect", the result will be that your interlaced video event will be replaced with an event of the progressive .hfp file.
Secondly, regarding pixel aspect ratios, the reason you're seeing a 1.0 PAR isn't related to interlacing. You don't need to convert your video to progressive before sending it to HitFilm in order to get the correct PAR. (You may want to do that for other reasons, since like Tom said, HitFilm prefers working with progressive formats.)
Instead, because Vegas and HitFilm are separate applications, they may have differences when it comes to detecting information about a video stream, and it looks like you've encountered one such case.
Because HitFilm cannot find a PAR in your MPEG-2 Program Stream video, it picks a default of square pixels 1.0. I'm not sure how Vegas works; it might be choosing the PAL PAR because the video's 720x576 resolution happens to match the PAL standard.
But HitFilm doesn't make this assumption. If HitFilm doesn't find an explicit PAR attribute in the video stream (and not all video streams support such an attribute), then HitFilm defaults to a PAR of 1.0.
To resolve this, just bring up the media file's Properties inside HitFilm, then untick the "From File" checkbox for the Aspect, and select 'DV PAL (1.09)'. Save the project then switch back to Vegas, and it should appear correctly now.