Howdy Adrian,
The PRO version’s CSV importer is the same as the free one. You should be able to import events, then do a batch edit of them to change their privacy settings though. Once you have imported the events go to WP Admin > Events. Place a checkmark next to all of the events you want to make private, then in the Bulk Actions drop-down select Edit. Change the Status, and click Save. If you have lots of events, you might be interested in the Screen Options link in the upper right of that page. It will allow you to set how many events you can view/bulk edit at once, up to 999.
I hope you will but the PRO plugin, it does come with a lot of awesome features including full support. However, you might try the import in the free version and make sure it functions like you want before purchasing PRO.
Does that make sense? Did that help?
– Brook