I tried it again, and discovered that, vectors in fireworks saved as a .swf will retain ALL gradient fills! To answer my own question, vectors in flash can be shaded with gradients.
Here is proof:
This vector in fireworks:
Is exported to this .swf:
http://www.members.cox.net/j4c08-5/freehand.swf
[direct link]
Photoshop (Imageready) can export to .swf, however all gradient data is lost.
I'm still curious about exporting to a .png with alpha transparency from flash, because I like to make Icons for my dock, and the dock uses .pngs