@anthony5 this is by design. Currently, you are only able to import new information. You are unable to link to existing information in a project. This is the case for subtasks, dependencies and even Sections/Columns.
The only items within a project that you can link to are Custom Fields. In order to do this you have to make sure that the criteria matches (e.g. field values equal drop-down options or field values match the field type)
I would suggest up-voting the following #productfeedback posts: