To do what you're looking for, you need to provide Knack with the file ID instead of importing just the URL you get from the export. To do this, first open your CSV export in Google Sheets, Excel, LibreOffice Calc, or similar and replace your file column (the one that contains the file's HTML, eg. <a href="...) with the formula in cell B3 in this example spreadsheet I made to extract the file ID, replacing the cell reference with the column that contains the file URL (should be the column to the right of it). Export the spreadsheet to a CSV.
When importing, select Map to for your file column. Then, right click the field dropdown and click Inspect Element. This should bring up a panel on the side of your browser, with <select name="field_key"... selected. Click the small arrow to the left of that select element, double the field key in value and change it to the field key of your file field. Proceed with your import, and when done it should point to the same file!
I know it's a bit tedious, but this is the easiest way to go about this without introducing some custom code.
If you need any further help or clarification, feel free to contact me directly at firstname.lastname@example.org. I'm also available for any other Knack development or consulting needs you may have.