I've always been able to open PFX files containing certificates and private keys using soapUI 2.5.1, 4.0.0 and 4.0.1. The PFX keystores are configured on the project view page under WS-Security Configurations in the Keystores tab.
If I open the project files in soapUI 4.5 (which work in older versions of soapUI) I get the following error message in the Status column: <error: java.io.IOException: Invalid keystore format>.
Trying to re-attach the PFX files to the projects via soapUI 4.5 makes no difference, I keep getting the same error.
The PFX files are created using OpenSSL (version OpenSSL-Win32_1.0.1h_Light) on Windows 7 x64.
It seems this is a bug in the latest version (4.5) of soapUI, because the PFX files work like expected in all other soapUI versions.