I have wither 2 installed at steam, but when I try to import, and it says Didn't found. Do I need to download the game again?

Where are you trying to import the game to? GOG Galaxy?

I don't own the said game, but as per my knowledge Galaxy can not import steam games. You can apparently import games downloaded from GOG into Galaxy (or you can install the game directly through Galaxy).
You may find this thread interesting:
[url=https://www.gog.com/forum/general/import_steam_games ]https://www.gog.com/forum/general/import_steam_games [/url]

If you need help regarding the Import feature in Galaxy, the linked page describes procedure of importing games in Galaxy :
[url=https://support.gog.com/hc/en-us/articles/212185389-How-do-I-import-already-installed-games-older-versions-or-installation-files-into-GOG-Galaxy- ]https://support.gog.com/hc/en-us/articles/212185389-How-do-I-import-already-installed-games-older-versions-or -installation-files-into-GOG-Galaxy- [/url]

EDIT: minor corrections and typos