“Some files cannot be imported. Only supported files will be imported if you continue. The following files are not supported”

Files with the filename extension XML are usually sidecar files with IPTC metadata, if they have been exported together with videos or image files. They are neither videos nor photos. iMovie cannot import them and you do not need to import them to iMovie. Just ignore the warning message.

Some image processing applications might be able to import them together with the original image or video and use them to set the capture date correctly or restore the titles and keywords. For example, Photos for Mac can read sidecar files with extension XMP or AAE, when you import photos to Photos.