Not sure which version you are importing, but it should look something like this in your Asset Manager. The texture path needs to be changed to
Hero_HighElf.blp from the default of war3mapImported\Hero_HighElf.blp. Do NOT change the file path of the model (the .mdx file).
If it looks exactly like the picture I posted it should work. I have the latest update of the game and it works fine for me.