Two things.
1) You have Copy selected at the top. Is that what you want to do? Copy them from that Downloads folder to some other drive/folder on your Mac?
2) Without a proper Destination selected No images will be displayed for import in the center section of the Import dialog window. In the Destination section, right hand side panel, select a folder that you Username has the permissions to Write files to.
Also I suggest that you manually Move those image in the Downloads folder to the folder you actually want them in then use the Add option at the top to leave them in the folder you manually moved them to and just Add them to the LR catalog file