Oops, you're right about unfulfilled cond-expand - R7RS states if no conditional is satisfied and there's no else clause, the behavior is unspecified.
But it is also undefined how import behaves when the specified library doesn't exist. So on the ground of the specifications, there's not clear preference in the current state.
My point is that import is about namespaces, while cond-expand is about checking features. If you want to check features, better to use the features actually intended for that purpose.
To improve the current status, I'd suggest to make it explicit that cond-expand notifies the user about unfulfilled feature conditionals, rather than overloading import for different purpose.