Import data into Select List using using Feeds and the Feeds XML Parser from xml file
If you're on Drupal 7.x, you probably want to be using this module: 

https://www.drupal.org/project/feeds_ex

This is the new home for no-longer actively maintained one (https://www.drupal.org/project/feeds_xpathparser)

I've been using feeds_ex and haven't had this problem.

Also, and I'm not sure about this, but I think the machine names for the list values should all be lowercase - but I could be wrong about this.