Multi-part messages, seems to be an unsupported feature.
<wsdl:message name="XAVRequestMessage">
<wsdl:part name="Body" element="xav:XAVRequest"/>
<wsdl:part name="UPSSecurity" element="upss:UPSSecurity"/>
</wsdl:message>
However you can often work around these issues by editing the WSDL and/or the generated code afterwards (something I've become quite familiar with recently). So long as it does not change the XML used at the time the request or response is handled.
In this case I managed to make a small modification to the WSDL to get it to import successfully!
And more importantly retain what I think is still the desired format, which is to send the UPSSecurity part in the SOAP header. Change the above to this..
<wsdl:message name="XAVRequestMessage">
<wsdl:part name="Body" element="xav:XAVRequest"/>
</wsdl:message>
<wsdl:message name="XAVRequestMessageHeader">
<wsdl:part name="UPSSecurity" element="upss:UPSSecurity"/>
</wsdl:message>
Next, notice the following, specifically the value of soap:header message attribute is tns:XAVRequestMessage...
<wsdl:input name="XAVRequest">
<soap:body parts="Body" use="literal"/>
<soap:header message="tns:XAVRequestMessage" part="UPSSecurity" use="literal">
<soap:headerfault message="tns:XAVErrorMessage" part="XAVError" use="literal"/>
</soap:header>
</wsdl:input>
Now change the value of soap:header message attribute to the new message created above , tns:XAVRequestMessageHeader. So it now should now look like this...
<wsdl:input name="XAVRequest">
<soap:body parts="Body" use="literal"/>
<soap:header message="tns:XAVRequestMessageHeader" part="UPSSecurity" use="literal">
<soap:headerfault message="tns:XAVErrorMessage" part="XAVError" use="literal"/>
</soap:header>
</wsdl:input>
Note: The key thing I've done is create a new message for the part in question and referenced that message in the soap:header element.
Sure enough looking at the generated code, I can see the SOAP header element where it should be. So you should be good to go and try calling it now!
public wwwUpsComXmlschemaXoltwsUpssV10.UPSSecurity_element UPSSecurity;
private String UPSSecurity_hns = 'UPSSecurity=http://www.ups.com/XMLSchema/XOLTWS/UPSS/v1.0';
If your happy to use the version of the WSDL referenced in this answer, here is a copy of it modified as per the instructions above.