Ok, nice. And if you do run into problems can you make some screendumps from the steps you took? That would make it a lot easier to reproduce. Although I don't expect you to run into trouble this time since the -u parameter is no longer supported.
Ok, so I created a batch of legacy addresses with VanitySearch. I selected to import an address in Electrum. At this point, Electrum warned that the imported address is a watch-only type. After importing it, it is shown in Electrum and it has the status "receiving", which I don't know what it means. Maybe the address can only receive funds and not send funds?
Then I created a new wallet in Electrum. It generated a list of addresses which had two types: "receiving" and "change" (I don't know what represents the "change" type). What's certain is that the generated addresses had two types and that in this case, Electrum didn't warn about having a watch-only address.
You can see more details in the picture below.
Regarding the -u parameter it still exists in VanitySearch. I don't know if it is still functional, but it is still displayed when you run the program (with -h parameter, for seeing all available commands).
Besides, I did not see any option for creating Nested SegWit addresses...
First of all regarding the picture labeled 3: All Electrum is saying when you enter an address to import, instead of a private key, it will be watch only. The message itself is valid for any address since you don't import the private key there is no way Electrum can use the address for spending. So regarding your first sentence in the quote above: Electrum gave a general warning on importing addresses instead of private keys. This has nothing to do with you entering a valid WIF for a private key. The import went fine and you can use the address like normal.
On to the next one: You created a new wallet and now you get a bunch of addresses. That is exactly what's expected. A wallet is simply a collection of private keys (which lead to addresses). When you create a new wallet a bunch of addresses will be allocated in that wallet. The Change-addresses are the addresses that will be used to send any left-overs to when the inputs of a transaction exceeds the outputs and fee. In short: In the first step you imported a single address, since your wallet was brand new it now only contains that single address. In the step pictured in image 5 you create a new wallet from scratch including a great number of addresses.
Regarding -u parameter: Edit: It is still there in latest version 1.18. But how did you create a 3-address using VanitySearch and -u parameter in the first place?
And finally: If you look at screenshot numbered 6 there is a "Info" button. If you press it you can see you can import a nested segwit address using "p2wpkh-p2sh:WIF"
