When you click on the drop-down icon it shows the menu having "Import Case Types" only when rule "pzImportCaseFromExplorerEnabled" is true.
This when rule check if you have the access to create case types, your application is has a parent case and the application's password is empty (i.e."pzHasParentApplication", "Application.pyPassword is empty", NOT "pzCanNotCreateWorkTypesForLp").
There is one more condition but i think you need to check specifically if these above 3 conditions are met or not.
One or more of these conditions must be failing for you due to which you are not getting the option to import case types.