I'm not agreeing with this, but there are a couple of business reasons why they don't want you to import.
For example, there are cases where individuals can import copies of games (and even hardware) cheaper than buying it in their native country. This can be due to all kinds of licensing, budgeting, advertising, R&D, and tax reasons. Let's say, for example, you have to charge $5 more for a European edition of a game to help cover the translation costs (yeah, $5 is way more than you'd have to). Well, the folks in the UK think this is screwed up, so they just import the US version. The folks in Spain think this is screwed up, so they just import the Latin American Version. French folks import the Canadian version.
So, now, Nintendo of Europe is looking at their situation and they have to decide if they want to start charging the Germans, Italians, etc., even *more* money. And remember what happened the last time those guys got po'd and teamed up?
And looking at the licensing fees - Let's say your a Japanese company with hot Anime license X. In America, you license this property out to CompanyU. In Europe, you go with a more established CompanyE.
CompanyU is better able to quickly translate and release your game (as they have 1-3 languages to translate into). CompanyE, however, has about a half-a-dozen languages. Three of which they're probably going to wait until CompanyU has translated, then fix the dialects. Well, people in CompanyE's territory who don't need to wait for the translation could then import the title from the US. This gives CompanyE less sales, which means less money, which means the license is less valuable for them. Which means they're going to offer CompanyJ even less money the next time the license contract is up for review.