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I'm also getting an error when attempting to open certain visio binary documents:

The document “su2002-0314.vsd” could not be opened. Can not open OLE Document

I understand that certain documents may contain OLE objects which Omnigraffle won't understand, and I've even seen this and the error message displayed, which is different than above.

This error however, is more cryptic. Will send an example document along to support.