Lesson "import questions" mechanism is not importing feedback messages.
Diagnostic and fix: in file mod\lesson\locallib.php at line 248
replace: $answer->feedback = $question->feedback[$key];
with: $answer->response = $question->feedback[$key];
NOTE.- It's a pity that the naming conventions of such "objects" as feedback and responses is not coherent throughout Moodle, causing such bugs.
Joseph