I don't think I can reproduce it, at least it didn't happen anymore after restarting and continuing the imports. AFAIR it happened after importing the "Master Key", during trying to import the "Release Key" from https://www.chiark.greenend.org.uk/~sgtatham/putty/keys.html
Ah and maybe one more hint: I have several keypairs, so the dialog for choosing the keypair to be used appears in the next step.