Odd, I've never seen that problem. anytime I've imported a file with an alpha-channel, the dialog to select the transparent/semi-transparent colors doesn't even come up.
there are advantages to the Import function, especially the fact that you can select multiple files.
Export copies the files to your game, from the RTP. You can select multiple files, but you have to 'OK' each one.
But, no conversions are done.
If you know every file you want to use, or you just want to copy the whole RTP, Drag & Drop is the way.
I would say the preferred way would be to use 'Export', and each time you use a new resource, export it in.
That way, when you're done you only have the stuff you need. Although most people (myself included) don't
realize this until it's too late, at least on the first project.
Be Well