Which version of Visual COBOL are you using?
This problem may be remedied in the latest VC release as we have done a lot of work in the area of the import wizard.
The error message is quite specific in that your NX project exceeds the current limitations of the import wizard. The wizard will attempt to create a new VC project for each built .EXE or .DLL or .int/gnt in your NX build window. How many of these build targets does your NX project contain?
If you cannot get around this using the latest release then you may have to manually create your new projects in Visual Studio and add your sources to them.
Thanks.