To be specific: still pictures taken in the Live View "Video Mode" cannot be imported into Lr 4.0. However, still pictures taken in the regular ("Stills") Live View mode can be imported fine. And of course, pictures taken in regular shooting mode (not Live View) can also be imported fine.
I believe what you have is a known issue. If you shoot stills in live view video mode, those NEFs will not import. We are working on a fix for this problem. Thank you for taking the time to report it.
Hello, it's been a year since you've posted this reply. I had this problem with my D800, shooting stills in live view mode. Do you know if a solution has been found? Many thanks! Chelin
Hello, It's been a year since you posted this reply, I have Lightroom 5 and my NEF stills shot in Live View Mode are not imported. I hope you can help me. Many thanks! Chelin Miller
If you are using a DX lens on your D800 and shooting in Live View Video mode, you will need to wait for the next Lr dot release, which will enable proper import for those NEF files.
If you are using a FX lens on your D800 and shooting Live View Video mode, you should already be able to import those files into Lr (be sure you have the latest version).