I have downloaded data from the pen but the data is grayed out and I cannot import the session.

Check to see that the path name to the MXD is not too long or that there are not invalid characters in the path. Capturx for ArcGIS has a 50 character limit to the length on MXD names. Please check to make sure your MXD name meets the limitation before printing a digitally enabled map; this will ensure that you will not lose the ink in an edit session when docking your pen.