Hi Ian,
The s2Member Import runs quietly, meaning no email notifications are processed (including List Subscriptions). From Dashboard -› s2Member® -› Import/Export -› User/Member Importation:
*No Email Notification* This import routine works silently. Users/Members will NOT be contacted by s2Member; that is, unless you have another plugin installed that conflicts with s2Member’s ability to perform the Import properly. You should always test one or two accounts before importing a large number of Users all at once. If you want Users/Members to be contacted, you can add them manually, by going to WordPress® -> Users -> Add New, and selecting one of the s2Member Roles from the drop-down menu.
There is a way around this, but it’s not tested and not recommended. Please see this thread with a note from the lead developer.