Hi Thiago,
Thank you for posting in Microsoft Community.
We understand you wanted to import your csv files into a data frame using the Excel Python function. It appears that this feature is currently not available in Python in Excel. Upon further research, it appears that there are third-party softwares that can grant you this option but not specifically for Python in Excel. Python in Excel is still in Preview and currently still developing.
Hopefully in the near future updates this feature will added. You can bring this to our developers teams attention by submitting a feedback - Get started with Python in Excel - Excel (microsoft.com)
Thank you for your understanding
Sincerely,
Leonardo_Y