Yes you did not follow the recommended way to import. So you either have to fix the video filename paths maually or redo it. The correct way is to create a subdirectory under your show folder and then put all the sequence files in there. Change xLights show folder to that subdirectory. Open the sequence, render, and save. Then switch your show folder back to normal. Open a blank sequence and do Import -> Import Effects. All the paths will have been fixed when you rendered and saved in the sub folder.