Launchbox imports exactly what you tell it to, nothing more, nothing less.
I think the issue might be the fact that the import rom feature under the tools menu is not really the best way to import games. The best way to actually import files into LB is the use your file manager and it's file search function to specify specific file types and then select all and drag into LB to start the import process. In this example with Saturn or any other disc based system that uses cue + bin images you would just do what Neil posted above.
Now, even though I say the first method is not the best but it is better than certain other frontends where you either tell it to scan a directory and it imports every single file or the frontend imports only very specific file types while not allowing any sort of freedom from that.