Not at the moment, no. A where not exists is indeed more efficient, although not by much. It also depends on whether the table you importing into is used by other users. insert where not exists has a lower risk of inserting a row while another user inserts a row with the same PK. The Any()->Insert method has a higher risk of a user inserting a row with the same pk after Any() but before Insert.
The Any and Insert where not exist will likely use the same index scan to decide whether there's a row already with the pk value, so for performance that doesn't mean much. If the import is done w/o users on the system, it should be OK.