I've just had EG 4.1 installed on my PC and when I select Import Data from the File menu, I get the following message:
The task "Task" could not be loaded because it is not registered with Enterprise Guide.
You should probably track this with SAS tech support.
Do you have other tasks in your menus (Data, Describe, Graph, Analyze)? It might be that the task portion of the installation did not complete successfully.