The Setup Assistant should move the hand history files after it has imported them, but this suggests that it wasn't able to.
Please move all of the hand history files to the Processed folder manually using Finder - you can find the Processed folder by using the PT4 menu File > Open User Data Folder, and if you're not sure where your hand history folders are you can look that up in Configure > Sites & Import Options. Stop importing and close all your sites while you move the files.
Once you've moved the files make sure that the Move Processed Files To option is enabled as described in
the guide.
Play a few hands at a single table then close the table and the site's lobby before you stop the import, and check that the new hand history file was moved?