It worked by moving the file to that place, it is just not very user friendly. In every other program I know, "Import" means opening an open file dialog to select the file. You could still have the current location preselected, but give the user the freedom to select a different file.
In this case WinSCP behaves different then other software.
Not really. The import functionality was designed to import settings from another application installed
on your machine; not from a settings export file, as you are trying to do. So it's basically same as if you e.g. import bookmarks from Internet Explorer to Firefox. Firefox does not ask you where to import the bookmarks from, because they are in the well known location. And most users would not even know, there the IE stores the bookmarks. Had you installed FileZilla and imported ITS
export file, the import functionality in WinSCP would work. Anyway, I understand that the import functionality can be improved to support both scenarios.