Due to client demand, the Retention feature was originally designed to connect with all of your LinkedIn Connections (not just those Leads generated by Growth-X).
That's why, by default, when you play a Retention campaign, it will import all of the given user's contacts.
When you run a Retention Campaign for the first time, GX will have to import all of that user's connections before you can run a Retention campaign with that user.
That means, you need to run the Retention campaign with the chosen user, and wait for GX to upload all of that user's connections. Be sure not to pause the campaign in the middle, and let it run once the whole way through.