Why does the 'Import Key File' button in Lubuntu 20.04 Software Sources | Authentication dialog not do anything?

Why does the 'Import Key File' button in Lubuntu 20.04 Software Sources | Authentication dialog not do anything?

I downloaded a key file for Geogebra's repository. I believe that when I click Preferences | Software Sources | Authentication | Add Key File, I should get a file dialog which lets me choose the key file. However nothing happens when I press the button.

I have never used this functionality before, so maybe I am doing something wrong. The manual glosses over the issue, which makes me very suspicious though.

I am using Lubuntu 20.04.

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