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I created a classification for a conversion variable (in the admin interface, report suite settings). However when I go to the Import Classification section, in the "data set to classify" drop-down menu I have only Campaigns.
From what you describe you aren't doing anything wrong if you have the same report suite selected where you built the classification levels for the given custom conversion variable. I would trying logging out and back in to the interface and giving it a bit of time. If you still don't see the classifications properly as an option in the Import Classifications menu after the outlined steps then I would recommend reaching out to Adobe CC.
From what you describe you aren't doing anything wrong if you have the same report suite selected where you built the classification levels for the given custom conversion variable. I would trying logging out and back in to the interface and giving it a bit of time. If you still don't see the classifications properly as an option in the Import Classifications menu after the outlined steps then I would recommend reaching out to Adobe CC.