I tried several different options, and it does seem that if you want the high image quality that "High Fidelity" gives when importing a ppt, you have to do a workaround in Captivate to get the interaction you want.
I don't think it matters what options you check in ppt before importing. If you have animations or other stuff in your ppt that you cannot, or don't want to recreate in Captivate, a funky workaround would be to place a button or click box over the entire slide. You could then set this button to "No Action" and place it on a layer below all your other active buttons. Probably not the most elegant solution, but maybe the only one other than not using the High Fidelity import (or not importing the ppt ).
The project I'm working on now is based on a ppt someone gave me. I exported all the ppt slides as png's, and imported them to a Captivate "slideshow". Works just like any other presentation if I use the built in player controls, or my own on screen button navigations. This way I have the option to use the ppt slide as it was, or place a few visual elements over the existing content, or just rebuild the slide in Captivate, using the ppt background as a template.