If you have [Create Physics Asset] on, it will try to create physics asset.
It can fail if:
The importer failed to create the Skeletal Mesh (and thusly has no bones to build the Physics Asset)
The mesh is too small and the Physics Asset creation default setting will not work with it.
If this fails, you can create physics asset after imported.
Bring up the Right-Click Context menu on the Skeletal Mesh -> Create... -> Create Physics Asset. You can then adjust the settings for creating a Physics Asset to work with the size of your Skeletal Mesh.