My problem is I need to import individual pro ui modules to components like lazy loading modules. However component generated by nativescript-cli doesn't have component.module.ts file.
Also note that global import of pro-ui modules are not working.
For the best practice of how to import and use the {N} Pro UI modules in {N} + Angular application, I suggest you to take a look at the sdkAngular repository here which is constantly being updated by the NativeScript team. That repository is using lazy loading for each component and app example.
On to your immediately question, if the nativescript-cli is not generating those for you maybe you want to use a different approach than the generic CLI is generating. Have you tried to manually create each component's module, the way you would do if you were developing a web Angular app? If you do that you can simply import each separate module from the {N} Pro UI like shown here.