It changed. Here's how to do this in WP All Import 3.0: http://www.wpallimport.com/wp-content/uploads/woocosettings.png
Notice the "external" in the Tags box.
For anyone reading this thread and looking for WP All Import support, we don't handle it on the WP.org forums. We do answer requests submitted through our support desk in a timely manner: http://www.wpallimport.com/support
Louis