Are you importing into a module or a list? If it's a module you should get that date format option. Also, are you using the model calendar or a fake calendar? If it's a fake calendar, you'll have to bring the date in as TEXT then format it and convert to a date. If it's a list, you're probably loading into a list property. If that's the case, I'd like to encourage you not to use list properties, a topic we can certainly discuss. Instead try to create a system module and load the properties there. The biggest benefit is that you can perform formulas on your properties as use them with LOOKUP and SUM. Calculate once, refer often.
If I'm way off, send me some more detail about what you're loading this data into. I'll get you to the finish line.