Thank you for reaching out and sorry to hear you are having trouble linking components in XD. Would you mind confirming from where you have exported the icons? Have you created them in Illustrator? What is the OS and XD version of your machine?
The icons were created in Sketch App (I am currently migrating designs from Sketch to XD).
I'm using Sketch and XD on macOS Mojave. Sketch Version is 126.96.36.199.
I'm attaching some further screenshots from sketch and from XD (first from XD on click, second from XD on double click, third from Sketch).
Currently I've been copying the icons from sketch then pasted them in XD and it seemed to be working fine - this would have saved me the effort of exporting first from sketch as separate files, and importing them in XD.
It's really important for me to find a quick way to import the icons, if I am to replace Sketch with XD.