We did consider that, but it leads to complications. Most users will expect the original message to remain intact after importing, and if that is done and child items are also created for a message's attachments, you end up with duplication of data. One solution might be to create "virtual" child items for the attachments, but that would be rather involved.
One enhancement that might help some would be to provide direct access to the attachments from the internal mime viewer, allowing launching and dragging them without first opening the message in its native application via Ctrl+J or the 'click to open' hyperlink.
Regarding mbox format, that is on the list. For now, you can use a little helper script we created that will extract the mbox file messages into separate message files, which can then be imported into UR:
http://www.kinook.com/Forum/showthread.php?threadid=758