you are not supposed to have 2 idle states. You should be able to make the idle animation in only one state. Like this 1:
Idle State
I think the problem of your animation is not about the format of the file. When you grab all the frames of your animation or just make it in unity, they will turn .anim file.
If you realize that when you play the game the state does not change from entry to Idle. You can try this:
Click on the animation you created, in the inspector and check if is loop is active 2.
Idle Inspector
Add an animator component in your character object3.
Animator
Create an animation controller [4].
[Create Animation Controller][4]
Drag and drop the animator controller in the controller component.
Open the animator and you should be able to drag your Idle animation to the animator tab where you were in. When you run once again your game you should be able to see the animation running.
Note: Some pictures I took are from unity2d, so probably it is not the perfectly the same inspector as yours, but you should be able to find it out. If you do not or if you still have any doubt, you can check this video. He exports it from blender, but the format .fbx is pretty the same. https://www.youtube.com/watch?v=D-oYgs1CP7U&ab_channel=SingleSaplingGames