When trying to import a User Defined Action at the site collection level, the warning banner appears indicating the UDA already exists.
The warning banner is simply indicating that this UDA is already present within your site collection.
You have two choices to pick from in regards to publishing this UDA. You can either promote the already existing UDA, which is more than likely being stored on a site, to a site level UDA. This would then allow any site associated with the site collection to use this UDA.
Alternatively, you can create a new UDA at the site collection level. This will mean there will be two of the same UDA's, one at the site collection level, and one at the site level. This may want to be done if there will be future alterations made to one or the other.