Just replying here so I can help anyone who may have the same problem in the future.
I'm using the Ansys Electromagnetics Suite 2014, which is HFSS/Designer 15. Apparently this version does not translate well the Cadence SPB 16.6 files on version of Windows newer than Windows 7. I was using Windows 10.
The problem was the total absence of information on the error sign (it only said "failed to import").
So, I created a virtual machine running Windows 7, installed all the programs and was able to create the Designer project with the PCB from Cadence. After that I just saved the project and transferred it to my Windows 10 pc. Now everything works.