Same here, the app says they can be used in Photoshop and Illustrator but mine say "the format is not supported"
Adobe's tools each use a different rendering model, with their own brush format and brush features. In other words, not every brush works in every application. When you save a brush, you're taken to a screen where it can be edited/named). It's also where you can see which brush work with which application. The top three are for Photoshop Sketch. If you scroll down you'll see the brushes for Ps. When you save, save for the app in which you'll use it.
Try this with one of your brushes:
Go into your Library and choose a brush
Tap the edit icon (square with a pen); that will open a visual list of brushes
If you want to use a brush in Sketch, choose one of those brushes (tap the circle to check it), name it, and Save. It will save to your library as a Sketch Brush and as soon as it syncs you should be able to open it in Sketch. Once in Sketch, long-press on the fifth brush in the toolbar and your Library of brushes should be there. The same process works for brushes for Photoshop and Illustrator CC.
Let me know if that clears things up for you.