The link indicator on a UR item icon indicates whether it is logically linked in UR, not whether its contents are stored in UR. Apparently, the URL you imported already existed (stored) in UR, and you have 'Tools | Options | Import (More) | Create logically linked items for duplicate URLs' checked, so importing again created a logical link to the existing item rather than importing again (linked) as another item.
http://www.kinook.com/UR/Manual/logicallinking.htm
http://www.kinook.com/UR/Manual/opti...moredialog.htm