This is a commonly reported confusion. The problem is that the XMI file format only describes the model of your diagram, not the actual diagram itself. Every UML tool has it's own format for storing diagrams so there is currently no universal way to get diagrams out of one tool and into another.

What you need to do in the case where you are moving your UML work over to MyEclipse is to export your existing diagram to an XMI file, go into MyEclipse, import the XMI into a new UMR file, then using the Package Overview outline view, you can drag and drop those entities from your model onto new diagrams, effectively reconstituting the diagram.