Eudora Mailbox Cleaner, a commonly recommended solution for importing from Thunderbird to Mail, did exactly the same thing, for the exact same message count. (I ran it on Snow Leopard Server in a virtual machine.)
So, how do you import without loss? I'm going to make this very simple for you. Use Weird Kid Software's Emailchemy, a brilliant app for converting from one email format to another. In the Preferences, on the "Standard mbox" tab, select "Relaxed" for "Compliance to mbox standard when reading." I also suggest you choose "UNIX and Mac OS X: LF" for "Output Newline Characters."
Then just choose to convert your mailboxes from "Thunderbird" to "Apple Mail 1.0." On the same mailbox I mentioned above, with almost 9,000 messages, Emailchemy recognized all but three, and Apple Mail showed that same number after import. Good enough!