It seems that it is not possible to set the Storage Dimension Group (SDG) to different values in different companies IF the SDG has been set on the Product Master.
Importing a Product Entity file including an Item based upon a Product Master where the file specifies what the SDG should be on the Released Item causes the Product Master to be created or updated and the SDG to be set on the Master.
Therefore when you import a second file for a separate company the import fails if the SDG is different to the first company.
I suggest that the Product entity import should not set the SDG on the Product Master. (We will alter the Product Entity code ourselves to work around this problem).