When you set the scale at Data Import, it scales only the skeleton data (position of bones, attachments, etc). When using this setting, it's usually because you have images that are a different size. For example, your images are 25% the size of the skeleton in the skeleton data, so you use Import Data with 25% scale so your images and skeleton data match.
When you export from Photoshop, the size of the images and skeleton data match. If you then use a scale != 1 during Import Data the skeleton data will be the wrong size.
My guess is what you want is to set a scale when you export from Photoshop, in the PhotoshopToSpine script's settings dialog. For example, if you set a scale of 25% there, then the images are scaled down 25% from what is in the PSD and the skeleton data is also scaled down 25%. You would then use Import Data and specify a scale of 1 (which is 100%).