I just tried this and there are a couple of issues
1) If you have a hot key to create a new Layer (I use CTRL N) it will let you create the New Layer but that is not a Layer that is selectable in the Layer List pulldown, because the list presented is compiled when you run the command, so adding a New Layer while possible doesn't help here unless you close the command and restart - use CTRL N before running the Import command to create the Layer and you will be good to go here
2) The Space Bar should be enabled here but it isn't - it should be - I will log that in as a defect. If you use the space bar, the layer you create should be selected on closing the new Layer dialog - thereby acting like the New Layer option at the bottom of the list.
I am told that in this type of dialog, adding a New Layer option is hard because of the type of control being used / or that is available to the developers on Importers - so hopefully 1 or 2 here can be addressed to make this work better.
While a minor issue, I get the need here and while solvable today with the creation of the Layer prior to import - it would be good to address this also.
Alan