Does EACH lens have to be attached to the camera for it to receive the data? If so, what is accomplished by checking all the combinations of lenses and teleconverters?
Also, how do I import data for a Canon lens not on the list?
No, you just need to use EOS Utility (with the camera connected to your computer) to load the profiles onto the camera. There's a limit to the number it will hold (don't recall, I know it's 20 on older bodies, maybe 30 on the 5DIII?).
If the lens profile isn't in EOS Utility, it's not available. I expect Canon will add to the list over time, but likely there's little incentive to add old lenses.