It is very possible - just create a fictional league, tick "import historical rookies" and correctly set the path to your chosen historical DB after creation.
The problem is that the process seems to be a little flaky IF you make too many changes to the fictional league setup during game creation. This isn't easy to prove, but a number of users have found with repeated attempts that making numerous changes to league structure during creation means historical players won't import. A workaround appears to be that creating the default 2x4x4 fictional league in creation then altering after game start appears not to cause the same problems with historical drafts. See historical simulation
subforum for several threads discussing.