Data Loader/Data Import Wizard Adds "Invalid Values" to Picklist

Overview
This is the expected behavior based on standard Salesforce functionality.

Cause
If the "Restrict picklist to the values defined in the value set" checkbox is unchecked (disabled) in the picklist field settings, Salesforce accepts the value and adds it to the list as an "Invalid Value" when data containing a value not defined by the administrator is imported.

Solution
To prevent data other than the defined values from being imported, enable the restriction using the following steps:

1. Click Setup | Object Manager.
2. Select the target object and click Fields & Relationships.
3. Click the target picklist field.
4. Click Edit.
5. Check the box for "Restrict picklist to the values defined in the value set".
6. Click Save.

Enabling this setting will cause an error when attempting to import or update records that contain an undefined value, preventing unintended values from being added to the system.