I found an option in the admin menu
"Enable process import from third party tools (Visio, iGrafx) (Default: Off)"
which (to my understanding) should mean that visio import should be possible. 
I can't find it in the interface. Someone can enlight me?
Importing from Visio files is definitely possible. Once you have enabled the config setting mentioned below, simply create a process shell and then while in the edit tab select the cog and you will have an option to import > Import from file (see image).
For this import option to be seen you will need to create a process shell in which you can then import the visio data :)
Lauren
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