In my experience this is not an issue, it's usually some unimportant tag such an empty anchor that wasn't imported. I think it displays somewhere the title of the note that's causing a problem?
But in general the importer is reliable and doesn't lose any data. The issues you might encounter is with notes that come from the web clipper, in which case the layout or style for example might be off, although all the text and images will be there.
Thanks; no, it doesn't show which note had the mismatched tag, the error message just says "Found a closing anchor tag without an opening one", and my only recourse is to press "OK"....