Well, I'm referring to taking the individual-level importance scores that are being averaged to create that summary importance report.
A shortcut to compute your confidence intervals for importance scores is to see that on the first tab of the Analysis Manager, utility report for the HB utilities is a summary table of utilities and importance scores. Handily, the standard deviation is already provided for you to the right of the summary importance scores. Just divide that standard deviation by the square root of the sample size, and that's your standard error. Take the mean plus/minus 1.96x the standard error, and that's your 95% confidence interval for each importance score.
Also, you can gain access to the individual-level importance scores by clicking out to the last tab on this summary utility report, which will show the importance scores for each respondent in that worksheet.