Recently I had the need to import an OVF into VMware Fusion, I was suprised to find this wasn’t a feature of Fusion (At least the version I am running) after a quick Google search on the subject I found VMware has a tool called, OVF Tool, the tool can be downloaded from here >> http://communities.vmware.com/community/vmtn/server/vsphere/automationtools/ovf and can be used with Windows, Mac OSX and Linux.
Once you have downloaded the tool you are able to run the .pkg file to install it to your Mac, by default it will appear in your applications folder but be aware this is a command line tool and isn’t of much use in there.
To convert your virtual machine simply jump to a terminal window, call the OVF tool and point it to firstly the OVF and secondly where you wish the VM to be created as per the example below
Maybe not as easy as a simple import option in Fusion would be but never less it got the job done in very little time.
Virtualised Reality 
I encountered that same problem several weeks ago. After a Google search I found similar information but with the added caveat that there are two downloads for Fusion. One is a “light” version and is missing some of this functionality. The other “standard” edition is a much bigger download but was necessary for the successful import.
Additionally, I asked my local VMware TAM as to why the OVF import feature was not already bundled with Fusion. He was unable to provide a solid reason, so I asked it to be added as a feature request. Honestly, how many of us are choosing a MacBook now? It really should be standard in Fusion.
Thanks for your comments Jim, I as you were supprised to not see it part of Fusion itself.