I play an arena on sundays and every week I try and put the games in a study. I use "download all my games" (which, by the way doesn't include time stamps) and within a study try and import the exported pgn. Nothing happens. I've also tried navigated to my blitz games and export using a date range (e.g., for today). Same result. I tried clearing cache and files with no change. I also tried logging in using edge which I've never used before for lichess and I stitl couldn't import the pgns.
Just go to the game and click the three vertical bars menu then click study, then choose the study you'd like to add the game to.
That's the most convenient way of adding a game to a study imo.