This has been bugging me for ages.
Everytime I import footage I get this warning, File formate not supported.
I have been just been pressing the "ok" button and carrying on regardless.
Below is a screen grab of warning.
Everything works fine after import, its just disconcerting to begin new projects with warnings like this.
What kind of content, and how exactly are you importing the clips?
I'll wager it's Sony XDCAM, which is file-based content, and that you're selecting the parent folder to import, either from PPRO's Media Browser or the OS's file browser. If I'm right, then what's happening is that PPRO is trying to import each component file individually, and some of them are not even media files.
If you drill down into the folder in Media Browser, it will make sense of the mass of file-based content, allowing you to import just what's relevant for editing in Premiere.