Yes this would be so helpful! I actually wrote up a similar suggestion before I found this post.

For my use case, I'm a photographer who edits heavily in Photoshop (ex. retouching, composites, effects, etc), so by the time I get to the color grading stage, my images are always open in Photoshop and are in the form of a PSD or PSB file.

With the current set up, I need to export my photo as a PNG first, locate it, open Color IO, import the image, and then go back and delete the previously exported PNG. So a direct integration of the import/export process would great improve the workflow of Photoshop users.