According to the announcement blog (http://blogs.msdn.com/b/crm/archive/2015/10/08/preview-feature-data-loader-for-microsoft-dynamics-crm-online.aspx), historical activities can be imported.
I tried to import a closed task, with statecode=1 and statuscode=5 (Completed/Completed), but the import fails saying "1 is not a valid status code on task with Id ....".
So how do you import closed tasks?