Hey TH,
The reason is very simple: "Our documentation is wrong and we are late with the new release".
CMigrator cannot migrate the data from wordpress when the wordpress tables are in a different database than joomla's.
You will need to export your wordpress tables and import them in the joomla table. After that in the configuration screen - just enter the same data as you have in your configuration.php file -> click import and your data will be imported.
In the next version we will make it extremly clear that one need to import the wordpress tables in the joomla db in order for everything to work properly.
Sorry for the confusion and the problems right now!
Kind regards,
Daniel