If your thinking of swf the way I am thinking, your thinking of Shockwave Flash movies
The way they are imported into VB, is by loading the shockwave flash ActiveX control into your VB app.
Once the ActiveX control is loaded, you can then specify the swf you would like the control the "play".
Now, the trick for an swf to run on the xbox is having an interpreter (much like the Shockwave ActiveX component) that runs on the xbox.
So if they have a Shockwave ActiveX control for the xbox (I doubt they do) then you could in theory load it and use it.
Yet that brings a few other "problems" to light: (someone correct me if I am wrong on the following)
I don't think their is COM support for the xbox .. so activex controls would not work.
I don't think their is a VB compiler for the xbox, at least not with the Xbox sdk that I saw.
So the short answer is no, but anything is possible