You lose your folder organization (a.o.) that way. There used to be a direct import of the database into Zotero (much like Mendeley can do direct import of Zotero DBs) but that has become impossible since Mendeley have encrypted their database, for which they hand-wave to an unspecified GDPR article that apparently forces their hand, but not Zotero, Excel, or a million other apps that you use to process your own data. Plenty of people have asked Mendeley on Twitter to clarify exactly what article would compel this over the past two years, with not a single public response by Mendeley.