Thanks for the information on the Modeling project type. I'll add these additional files to VS2010 setup for the next release (regardless of SKU, they won't hurt anything in the pro SKU).
I'm not necessarily a big fan of isolating 'modeling' files from other source files. I think the model is an integral part of the source code and having a model associated with (and the primary source of) generated code directly in a project is a good thing. That being said, I'll repeat that the initial VS2010 release is a straight port and that any investigations into special integration for new VS2010 plug-in points have not been started. I'm certainly not ruling out tight integration with the modeling projects, but given the high-end nature of the VS SKU that contains these elements I think there are a lot of other things we need to cover first (like major advances in the relational generation).
The first two import dialogs are expected. I believe we keep the previously chosen value within a VS session. You'll see these parameters listed in the NORMADIR\Xml\ORMDesignerSettings.xml file. If you want different defaults, then change them, or comment out the parameters and use or change the defaults in the corresponding xslt files (in the Xml\Transforms\Converters directory). You can also copy this directory and redirect with the HKLM\SOFTWARE\ORM Solutions\Natural ORM Architect for Visual Studio 2010\Designer\DesignerSettings\Core registry key (insert \Wow6432Node after SOFTWARE on a 64-bit machine), which will let you play around without touching the original files.
You should not see the final message. The NORMA designer uses the same mechanism for an XML import as a file format upgrade, and distinguishes the 'new' vs 'import' case by checking the hierarchy item (hierarchy items are displayed in the Solution Explorer) for the VSHPROPID_IsNewUnsavedItem property. The third dialog you're seeing should not be shown for a new item, so apparently this mechanism has changed in VS2010 and I'll need to figure out another way to get this information. In the meantime, the dialog is easily bypassed (don't disable the save button).
Thanks again for investigating the modeling project.