I never tried that. I suppose it might work on a single level folder, but subfolders would probably fail. But as I said, I've never tried it (that I can remember) and don't have anything handy to experiment with (that I want ending up in my library).
What I usually do is open the folder, click on the first item, shift click on the last (to select them all), or cmd click the specific files I want, then Open. Been a while since the last time I imported more than one file, though, so no guarantees.