When you export the project inside C2 with "Android" as the exporter, you navigate to where you exported the files.
Whenever you create a new project with Intel XDK, it creates a file directory wherever you directed to put it when you started that project.
Just copy and paste the exported C2 files inside this New Project directory, restart XDK and the files that you copied over should turn up within the project. Once you have achieved this, you can build your app.
As of right now, Crosswalk does not support Icons or a loading screen as it is in beta. You will have to wait for this feature to come later on.