I'm using C4D R12 and Xfrog 5, the settings I use to bring an .xfr file in with hierarchy intact is:
Edit > Prefs > Import/Export > Xfrog 3.x Import > General: Mode = Xfrog 4 Objects and Scale = 100. Materials = all selected except "Override Multiply Textures", under Objects, Hierarchy Simplication = Always, Tube Area/Smoothing = by Smoothing Attribute, Tropism Import = by separate Tropism, all else unchecked.
You may also want to watch the tutorial video "Import Xfrog 3.5 to Xfrog 5" on the support tab at Xfrog. It is under Xfrog for C4d > Workshops.