You can't import a private into an HD wallet... only into a wallet that is just collection of private keys.
To import just a private key, you would need to create a new wallet in Electrum and select "use public or private keys" during the wallet creation and then enter the private key that you received from the vanitygen.
Yes, that is the only way to add your created wallet on electrum, that is used your private keys. It is just like recovering your wallet. This is what I did also last time my computer crash.
My only concern is , how secure the vanitygen website?they my have record of your private keys too which could be a security breach in the future.
The website stated in the topic is not secure. Since they don't offer the split-key generation, they will be able to see and spend your funds from the private key.
Split key vanity works in a way such that you have to combine the part private keys to make one address. Without the knowledge of the other address, you cannot access the funds.