Since the Component is a multi-value field and does not appear on the issue JSON data for the linked issues, it is not available for import as a regular Linked issues field dimension.
There is, however, an option to import the combinations of components instead.
You might read more about that approach in another eazyBI community thread here - Applying Epic Components to all Child Tickets.
Regards,
Oskars / support@eazyBI.com