I messed up. Reading the instructions more carefully on IntenseDebate I thought there was a way to import old Wordpress comments via XML file but there is not.
If you want to Import your old comments from Wordpress you need to install Intense Debate on your old Wordpress site first. It will then import all your existing comments. At least that is the way I read it.
This makes sense because it insures the comments get matched up to each permalink.
So if you are going to migrate from Wordpress to something like Micro.blog and want to use IntenseDebate you should install IntenseDebate first on your old Wordpress blog first, let it import the comments, then install IintenseDebate on Micro.blog after you have successfully moved your posts and domain to Micro.blog.
While it would have been nice to preserve my old comments, it’s my bad and I can live with it. The primary reason I wanted a comment system was for the occasional non-MB visitor to be able to leave a comment. It does not happen often but when it has happened it was important.