the configuration of each MWG basically consists of two parts. The "Policy" and the appliance related settings. The appliance related settings such as IP address, DNS, etc, are tied to the machines UUID, which is a unique identifier. If you create a backup on the virtual machine it will contain the Policy (which works on all machines) and the appliance related settings for the specific device you created the backup on.
On the new device when you try to import the restore process tries to find the settings for its own UUID. Your backup file only contains the configuration for the UUID of the virtual appliance, but not for the new device you would like to import on. Therefore you end up with the error message that the UUID cannot be found in the backup.
It may be possible to manually modify the backup with the new UUID, but there is no officially supported method to do so. One of the problems here is that the hardware may be different (especially number of NICs etc), which is why we keep the settings tied to a specific UUID.
If you just want to "move" from a virtual machine to a physical machine I would recommend to manually apply all settings once again, and create a backup on the newly configured machine for an easy restore. If you would like to have an option to quickly start up a new box you can create a USB stick which can be plugged in on the first boot, which will setup the appropriate IP address/DNS/etc information for this device.