I've run into that yeah. There's no way to associate them via CSV natively that I've found, which is annoying.
They're in the system though so you can associate them by going to the Asset Type on the Other Methods tab, selecting your record in the drop-down, and then clicking attach.
Another fun quirk is that it will only show you the internal ID in that list. What I've done in the past is to do a search of Def Alt Depr once I've imported them so I can see which records are associated with which internal ID. Then I have that list on one screen and my Asset Types on the other and just go manually update them.
Presumably this could be scripted, but it's a one-time thing typically and most clients I've worked with only have 10-15 asset types max and want to add maybe 1 or 2 alternate depreciation methods. By the time you'd write and test a script for that, you can do it manually. If you have 30 asset types and you're adding 5 alt methods per asset type, maybe the script would be worth it.