Are the filenames (i.e. filenames + extensions and the possibly existing paths) correct inside the playlist? You can open an m3u playlist with Notepad or some more advanced text editor and inspect/fix the filenames.
Do you have other m3u playlists that work? If yes, you could compare the contents to find the differences.
If the filenames seem to be correct, could you post the few first lines of the playlist in your reply?
I have not recently tested if other import methods would do this, but at least when Auto-Import imports (valid) playlists, they appear inside the "Imported Playlists" playlist group.
