You can connect to the folder with your MXDs and drag and drop into your PRO project that way as well if you are having trouble directly using the import workflows. I'm on PRO 2.9 and it still retains this function, the MXD files look different and their icon has changed when loading in PRO.
Definitely going to be re-reading the documentation however, very useful topic.
Best regards, thanks everyone!
Jansen Lyons - Records and GIS Section - Public Works - City of Rio Rancho, NM