How to import dividend information from Vanguard?

use the file import from a financial institution and select Vanguard.  note that the 2022 1099s from them may not yet be ready. You'll be notified of the date if your import files. 

You are probably trying to import too soon.  Usually financial institutions have the information online for you to view or print earlier than they have it ready for importing into the tax software.  It is often about mid-February before you can import 1099R's, 1099B's , etc.