As far as i know, that is how it works.
If you have for example one order with multiple orderlines in your Excel import document.
Your order has its own Id (unique Key Attribute) and each of your orderlines should have them aswell.
How else would you expect the importer to map the correct other duplicate values to the right attributes in the application?
If you just want to import your data one time you can change the import action on your temlplate to "create an object for each row".
If you want to be able to update your data through excel, you can add a column to your excel sheet for the key attribute. I usually make my key numeric starting at 1.
Edit: Change the import action from synchronize to "create row for each object". Then the template won't require you to have a key.