The problem with importing CGM files into Pro/E is that the entire drawing is inexplicably resized to A-size, regardless of the actual drawing size that the CGM file was produced from.  Here is a work-around which will allow you to import your CGM file at the correct size.

1. Import the CGM file into an empty drawing sheet - it defaults to A-size.
2. Note that the A-size drawing frame (if it is visible) may be a different aspect ratio to the frame of the drawing entities you have imported.  You do not want this frame, so make sure to blank the format to ensure that the A-size frame is not visible.
3. Export to IGES - you then get an IGES file which is smaller than A-size.
4. Create a new drawing empty drawing sheet at the correct size (e.g. A0).
5. Import the IGES file - answer yes when it asks you whether you want to resize the imported elements to fit the drawing size (e.g. A0).