Note that this perfectly work for a dependent (not relational entities).. Note also that there might be limitation on number of records to publish at once, i don't tend to publish more than 1000 lines per time.
But speaking about relational entities, it is funny how i handle, assume i have CountryEntity and SupplierEntity where in in SupplierEntitiy there is the lookup column SupplierCountry.
In fact, I add temporarily another TEXT column to SupplierEntitiy I call CountryText, then add my data (in Excel) in this column, then adding few slices in excel to better filter, i then fill in the LOOKUP SupplierCountry Columns (Columns because they are 2!) then clear filter, publish, then delete the temporary column 🙂