The Help says that the Import... button is for importing lexer definitions from a VLX file. The Import... button is outside of the tabs, so it definitely is not related to importing user defined keywords, if that's what you were wondering.
For more information about VLX files, do a Search for "vlx" in the SlickEdit Help. The last matching topic listed is (for me) "VLX File and Color Coding", which I think will give the information you're looking for about VLX files.
For more information about building a custom lexer, check other posts in the forums. That's basically for building support for a custom language that isn't natively supported by SlickEdit, though.