I tried it myself and it works fine for me.
- Playback movie to the frame you want to extract the SRAM from. Try picking a frame that is a few seconds or a screen after the saving takes place to make sure you don't extract SRAM while the game is still saving.
- Use the Export Backup Memory and save it as raw SRAM.
- Close Desmume and open it again to make sure flags from the movie are gone.
- Open the ROM and wait until it is fully loaded.
- Go to Import Backup Memory.
- Select the sav file from step 2.
- Verify the information on the right panel (optional).
- Select "AUTO (from imported save data size)".
- Press OK.
- Reset the emulation state.
- Verify the SRAM was successfully imported.
When playing around with it, I found that using the first auto import (based on current save size) with no existing SRAM will cause Desmume to import nothing (blank SRAM). I'm not sure what else could be the problem but have you also tried a soft-reset or something else to see if the SRAM isn't corrupted during the movie?