I went to Eventbrite.com and created an event there. I made the event private (because I am just testing the connection on a development site right now) and made two tickets: one free, one for $20.
Then I went back to WordPress > Events > Import > Eventbrite. I chose the event from the “Select an existing event” drop down and clicked “go”. WordPress managed to import the event, but the tickets do not appear on the event page.