Error: Order was not created. Reason: Please specify a shipping method.

You should check if shipping method M2E Pro eBay Shipping  enabled  in System > Configuration > Shipping Methods or Stores > Configuration > Sales > Shipping Methods for the store view where order is being imported.

Another reason of this error is shipping extension installed in your magento, which overrides core functionality.

Please let us know if you find this information inaccurate