It's definitely ok to import multiple files like that. The problem is not with the Import
but as the error says with your imported project. The error basically means one or more of your .settings files contain invalid xml. The files must look like this for example:
<?xml version="1.0" encoding="utf-8"?>
<Project xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
<PropertyGroup>
<A>a</A>
<B>a</B>
</PropertyGroup>
</Project>