Raiser's Edge allows you the option to change some address fields, including City, so that the field requires a Look up table. The table will appear in the Table section of RE called 'Address City'. This table can be added to in RE, but we have not provided you with the option to automatically add to that table when Importing in Address, like we have with other fields that have tables attached.
We are considering adding that functionality, but until then, you can either turn off the Look Up function on that particular field within RE prior to your import, than turn it back on after your import. By turning it back on, RE will automatically add the City to the pre-existing table.
Alternatively, continue with your import, but if a City isn't within the Look Up table, an exception will be created. You can then use that Exception list to manually add to the table in RE. Once you have updated the table manually, you can go back and complete your import and your Cities will then be applied to the appropriate record.