Thanks for your question – you guessed it! The importing-movie-file functionality is not done yet. We plan to support mp4 and maybe other formats. (For clarity, I will mention that exporting of movie files IS implemented and is working well. AP supports mp4 and mov (including alpha channel) formats for exporting.)
For now, you need to save your video as a sequence of numbered png images. Then you can easily import your “video” in one go onto one layer. Just select the first png, hold Shift and select the last.
An alternative method is to save your video as an animated gif (which can also be imported in AP). But of course this can result in a huge gif file and colors might be heavily compressed. So it depends if this is a good option or not. 😉