I downloaded MathJax and tried to look at your problem. The zip file (~17MB) downloaded from MathJax site conatins more than 30 000 files and 607 directories. Currently Import from archive does not support such amount of files and folders.
This is reported as issue and will be investigated.
As workaround I can offer you, to unzip MathJax file on your computer and import needed files and folders, by dragging and dropping them on your project's file tree. This works on my side.
the Telerik team
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