Terraform treats an import of the aws_security_group resource as a complex import, because it has dependencies on other resources - in this case, aws_security_group_rule. Where no dependencies were found, it would be a simple import.
Hacking the statefile manually isn't the best thing to do; if you're using a modern version of Terraform, then you can make use of `terraform state rm` as documented at
https://www.terraform.io/docs/commands/state/rm.html to remove individual resources from the state file in a safer way.
Whilst hacking the statefile manually may work, it's a little less safe than doing it through Terraform.