You are correct. There is no such feature on the Mac, mostly because I felt it was straightforward to import in Photos from the desktop after an export operation. You are right that it would save a few steps if there was direct Photos import with a album chooser, etc. as in the iOS version. It’s on the list for a future release, but it will be after 3.1.
Please note that you can import into an existing album in Photos by dragging images into the Photos window (and into the album you want).