Applies to: QuarkXPress 2018 Pro

Solution: The issue occurs if the folder from where you are trying to import the images into a project isn't added to the QuarkXPress Working folder.  To check the working folder, go to QuarkXPress preferences.
QuarkXPress > Preferences > Working Folder

So, in order to resolve the issue, add the folder (containing the images) to QuarkXPress Working folder.