.vsd import isn't supported in Confluence Server. The options are:
1) Load the file in Visio 2013 or later and re-save to .vsdx and import that.
2) Use www.draw.io to import the .vsd file and copy and paste the diagram into a blank draw.io diagram in Confluence Server. Note this involves sending the vsd file to our servers.
3) Configure your Confluence Server to send .vsd files to our server to perform the step (2) transparently. Note this involves sending the vsd file to our servers. See the vsdurl parameter in this article.