Apple has recently updated their iMovie software to version 10.
Due to changes in the way that iMovie Projects are now created, this new version of iMovie not work with the iMovie button in the Share section of Elgato Game Capture HD.
If you want to bring video into iMovie 10, then:
1) Select Edit mode
2) Choose the Group in your Library that contains the video
3) Under the Videos section, highlight your video
4) Under the Share section, select Movies.
5) Your video will be encoded, and then sent to your Movies folder.
6) Manually add your video from your Movies folder, to your iMovie Project.
If you continue to use an earlier version of iMovie, like iMovie 9, then you can still use the iMovie button in the Share section of Elgato Game Capture HD.