From WP 3.5.2 and newer there is still a bug that fails to import media from two self-hosted (multisite setup) blogs.
Here is the scenerio:
Export Blog (WP 3.5.2 or WP 3.6 - doesn't matter) is on a Multisite setup with sub directories. Export all content and using default twenty eleven theme. Nothing special.
Import blog (WP 3.5.2 or 3.6-doesn't matter) is on a completely different server with a different ip address and domain name. Import fails to import media with a message of Failed to connect to server. Posts and everything else works fine. Just the media import fails.
Same setup but if you run WP3.5.1 on the server you are trying to import to then EVERYTHING WORKS!
Some bug was introduced in WP 3.5.2 that prohibits importing of media when the wordpress installs are on different servers/IPs/DNS names.
A wordpress 3.5.1 install will import from any version. Since WP3.5.2 media importing has been broken for us. I am not sure if this has anything to do with our setups being multisite.