The page that Dan linked to should give you all the info you need, but I did want to elaborate on some terminology distinction here. Notice how, in the bottom right of your screenshot, it only says STYLE (and not STYLX)? That's because the import function is used to import and then convert Style files that were created in ArcMap to be used in ArcGIS Pro. If you created a Stylex file in Pro, you need to add the style, not import. Right click on your project's styles folder in the catalog pane and click "add".
Hope that helps!