itch.io

Interesting, I don't know specifically why it would do that, I double checked the .zip files to be sure the images are in there and used the import option within MZ, everything worked for me.  You can always just find the folders for enemies and copy the images you want into it directly into it (outside MZ.  So the default folder would be:  
Documents - RMMZ - [Your Project's Name] - img - enemies
or
Documents - RMMZ - [Your Project's Name] - img - sv_enemies

You should copy all the images you want to use into those folders (respectively) and they will show up in the enemies list.  My only other thought is if you already have a file named the same thing it may reject the import...I don't know if it overrides or keeps originals on import.
Hope this helps.  Good luck.