What do you mean by "none of my .GSs are attached to the .dlls they belong to"? No Dialog System screenset files in .gs should appear attached to a DLL the same way as a copybook since they cannot be linked in a DLL.
I just imported an old Net Express 3.1 project that contains one .cbl and one .gs, and both are imported into a new Visual COBOL project successfully. I looked at ImportReport.txt that gets created in the project folder, and it does say both .cbl and .gs were imported.
Back in Net Express, the .gs files did not need to be seen in the projet structure. They just need to be in the project folder if you run or debug the application from the Net Express IDE or in the same folder as the application when you need to run it outside of the Net Express IDE.