Yep. The key is that you were importing an ACTION, not a MACRO.
This is indicated by the file extension on the download: .kmactions
I agree this is very surprising, and have requested several times to have this behavior changed, but @peternlewis disagrees. I think a simple dialog of "Do you want to import these Action(s) to the current Macro "Macro Name" would be extremely helpful.
99% of the time Macros are uploaded, not Actions. So we are all surprised sometimes by the Action Import process.