Error Message Needs Tweaking when Importing from a URL vs from a file

The message is technically correct - when you use the URL method, wordpress_migrate logs into the WordPress and exports the WXR file directly. But yes, in that context it's confusing. It's also worth noting that this message is generated at the point where the actual import is being performed, well after the file was uploaded to the web server (whether it was obtained via file import or by pulling directly from the WordPress site), at that point the code has no idea which method was used to obtain the file.

So, what's a more general message that makes sense either way? "The extract from WordPress is not a valid WordPress export file."?

I'm going to leave it as is - it is correct, and it is also unlikely to occur with a direct export from WordPress, which of course should be valid, it's when someone uploads some random file or an edited WXR file that this is likely to happen.