We really need to make it possible to import audio files through File -> Open (and File -> Import -> some new option) as well as through the audio file manager.
I don't think that the default file type filter in the file open dialog should necessarily include audio files, but I do think audio files should be an available option in the filter dropdown. (The default filter at the moment is given as "All Supported Files" -- if audio files are supported here but not included in the default filter, that name would have to change.) And if you select an audio file -- which you can already do by overriding the filter -- Rosegarden should do something sensible with it, rather than just refuse to open it.
"Something sensible" probably means opening or foregrounding the audio file manager window first, and then activating its file import function.
The only time I think it's acceptable to fail in the way we do at the moment is when there is no audio support available.