MySQL Workbench copies Schema, but not data, from SQL Server 2008
According to the MySQL Documentation, the steps for the Migration Wizard should be


Connecting to the databases
Schemata Retrieval and Selection
Reverse Engineering
Object Selection
Migration
Manual Editing
Target Creation Options
Schema Creation
Create Target Results
Data Migration Setup
Bulk Data Transfer
Migration Report


Sounds like you got to Step 9. You have to make sure to setup Data Migration. Apparently, it is not automatic.

If you are having problems with the import, you are not alone. This has been a source of heartache for many. You may need to try :


MySQL Migration Toolkit
SQLyog