Why must line must be drawn from fact to dim in physical diagram join?
When you create the join between the two tables, the table at the start point of the drawn line will be where the foreign key object will be created that describes the reference from the fact to the dim. If one does not already exist, a key object will also be created on the join column(s) on the table at the end point of the drawn line (the dimension). So foreign key on fact, key on dimension as would be expected in a 1:M join.
Why should you uncheck foreign keys when importing tables?
The only references I could find to unchecking this box during import suggested that including the foreign keys might make the import take longer. If the foreign keys are imported, it would still be a good idea to review all join conditions between the tables after importing.