Did you check to see if the hand histories are being saved to your hard drive...in the folder you told PT to look for them in? That's the first thing you should do. And if you are talking about observed hands, I believe FT is doing away with the ability to do this.
PT doesn't save the files to the hard drive, Full Tilt is supposed to do that. If it's not you need to contact them for support.
Click the help link at the top right corner of the FTP auto-import window and see the directions there for making sure you have the site set to save the hands to the hard drive and that you are pointing PT to the right folder.