Any files you've synced with Mendeley servers will be imported by Zotero as stored files. If you're not seeing files at all in Zotero, you simply didn't sync them to the Mendeley servers before importing.
But Mendeley has never synced any information about the local location of your files, and setting a file location is no longer even an option in the newer Mendeley Reference Manager, which is just a minimal wrapper around the website.
Setting a file location was an option in Mendeley Desktop, but Mendeley starting encrypting the local database years ago, preventing Zotero from being able to import directly. So we can only import from the online library, which doesn't know anything about local files, and therefore you won't get linked files in Zotero from a Mendeley import.
Upgrade Storage
Any files you've synced with Mendeley servers will be imported by Zotero as stored files. If you're not seeing files at all in Zotero, you simply didn't sync them to the Mendeley servers before importing.
But Mendeley has never synced any information about the local location of your files, and setting a file location is no longer even an option in the newer Mendeley Reference Manager, which is just a minimal wrapper around the website.
Setting a file location was an option in Mendeley Desktop, but Mendeley starting encrypting the local database years ago, preventing Zotero from being able to import directly. So we can only import from the online library, which doesn't know anything about local files, and therefore you won't get linked files in Zotero from a Mendeley import.