alright, so, I was able to solve my own problem and will post it below. I hope it will help someone who is desperate like I was for last couple days :))
Step 1) Switch Your Post Object type to >> POST ID << in the return radio buttons
Step 2) Import the data with everything EXCEPT the POST OBJECT FIELD data, first we need to import the posts to create them
Step 3) Import the Data again, but dont create new posts, just use Title or any Identifier from CSV / XML to match and identify the post and Only update the POST OBJECT Field type.
Pat yourself on back and get a cup of coffee or beer :))
P.S.
After import is done, in Database, I see that values are given for that specific field like this:
META KEY | META VALUE
_product_to_review | field_55673b42dafbd
product_to_review | 385
It seems to be correct, if I submit all this info manually, when everything is working fine, this is exactly the same values for the Meta Value, that I get in Database.
So, if I manually choose some product in dropdown, in the POST OBJECT type field, lets say that product has post ID 385. I click save / update, and value gets stored and is visible on frontend as well.
But If I do the import, value is stored in database, however, in the backend when I go inside the edit window for that review, the dropdown field (POST OBJECT) is empty, no value preselected and doesnt show up on frontend as well.
