Obviously, you're writing from a position of frustration, but what you're asking would require Outlook to maintain transaction records for the import of thousands, possibly millions of individual items. I don't need to talk to anyone at Microsoft to know that's never going to happen.

The logical approach here is to make a backup of the .pst file before you perform any bulk import.

Also, importing is usually the worst way to move contacts. A better approach would be to open the other .pst file and drag the contacts into the main .pst file.