The import of memory analysis data is useful in two cases. If it isn't possible to start a Memory Analysis session using the IDE, for example, when there is no network connection between a target and host machine, or if qconn isn't running on the target machine, you can start memory analysis on the target (see Launch from the command line with Memory Analysis enabled), and then transfer the data file to your host to perform a postmortem memory analysis. If you want to share a session, you can export it in XML format, and then later it can be imported to view the data. Compared to a trace file, the XML format is self-contained and doesn't require binaries and libraries to be present at import time.
The executable you select should be exactly the same as the one running on the target machine.