When you export a creature, its list of skills, feats, spells and psionic powers is saved, along with the other statistics. However, each person's database of these items can be different. For example, someone might run a campaign without psionics – all psionic skills, feats and powers would have been deleted. If that person tries to import a creature that has a psionic feat for example, DM Genie will be unable to assign it to any of the known feats.
This window gives you a list of all the unknowns found. If you are importing a group or adventure, then these are all the unknowns for all the creatures imported. You can choose to “Ignore” and the creatures will not have any of the unknown skills and feats – although every other stat for this creature will still be correct, so this is a safe option. When importing a group or creature, you can “Cancel Import” which will remove the imported creatures. You may try importing again after you have added or imported the missing items.