I was also surprised and frustrated to find that you can set up and use classes on transactions, but can't import a budget with classes.

As long as you can only use one class per transaction, I don't understand how it would be an issue to add this field to the budget import.  One way that I've seen it work with other software is that you may have multiple budget lines per account, each with a different class.

I will submit my feedback through the channel recommended in this thread, but in the years that have passed since this thread started, it doesn't seem like there's been any progress in getting this necessary feature onto the product roadmap.