Hi Graham,
I can see the issue

1. The last activity time is not set for the user and that’s why they are not visible.

To verify that, Please visit Members Directory and select alphabetical filter, It will list all the members

“Viewing 1 – 20 of 5,278 members”

Also, you do need to import first name/last name(This is not required but will be nice).

The last active time needs to be imported in the activity table. If you are using a custom script

For each, user_id, you can do it by adding the code

    bp_update_user_last_activity( $user_id );

Regards
Brajesh