This is probably too late to help lawrence, but I was just having the same problem and this is what I found.
Like lawrence, I exported a mailbox folder to my documents folder. When I tried to import it back into mail, an "import" folder never appeared in my mailbox list - even though I was told that it was placed there. However, when I tried the same procedure with another mailbox folder - import out, export back - an "import" folder did appear with the archived emails in it.
The difference was that the first mailbox contained subfolders with the emails placed in them. Unfortunately, I selected only the mailbox, not the subfolders, so no content was actually exported (although the mail folder showed up in my documents folder). Hence there was nothing there to be imported and no "import" folder was created (although I was told otherwise).
OTOH, the second mailbox folder contained no subfolders and all mail documents were exported. So when I imported that mailbox folder, the emails appeared in an "import" mailbox as advertised. The same thing occurred with a mailbox that included subfolders - because this time, I selected each subfolder. Important to note, when the import was actually working, a window showing progress was displayed.
Bummer is that I deleted the first mailbox folder before I verified that it could be re-created. I don't see anyway to get it back.