You have to export the mesh and the bones it's skinned to or else you'll get that error. It shouldn't really work at all without the bones, to my knowledge.
Not sure if I should ask here or make a new thread, but is anyone else going to be in Seattle for the Dota2 International? - Got my tickets this morning! :D
Is anyone else getting import errors on items that have previously worked? Lenny was reporting the same issue, maybe the latest patch has messed something up.