@kloy Okay, then I wouldn’t worry about it. When you’re ready for production, save the vectors as png in Illustrator.
One thing I would try though is to export the vectors to PSD or PNG. Then, in PS go to File > New > Set the Options > File > Place > Choose the PSD you exported from Illustrator. From there you can pull down the both tabs in PS and drag the layer to your Web Design file.
I’ve never seen an issue like you are describing on files as small as web design PSDs. Are you going to menu > import? I’ve always just copied the object in illustrator and then pasted into Photoshop and chosen smart object option. It might be the same as file > import its worth a shot if you haven’t tried that specifically.
It’s a little hard to know what is going on without being able to see it, but my best guess would be that you aren’t aligning the object to the pixel grid when pasting it into Photoshop. This article might be of some assistance: http://bjango.com/articles/pixelpasting/