As @TIG wrote, a kmz file is actually a zipped archive that can contain multiple files of several types. Of these, SketchUp only knows how to import collada (dae). But Google Earth exports geometry only as Keyhole Markup Language (kml), it does not generate collada. You can unzip the kmz and examine the contents. If there is no dae, only kml, SketchUp is going to fail to import the kmz file and you won’t be able to use SketchUp as a kmz to dae converter for it. In fact, it would be a silly exercise if the dae already exists inside the kmz!
There have been a few attempts to implement a kml importer extension for SketchUp (including one of mine, and one by @Aerilius) but so far as I know none is 100% complete or officially published. If you are able to share a sample kmz, I’d be willing to see what my prototype importer makes of it. Since I have no need for it, I’ve never searched to see if there is a direct kml to dae converter independent of SketchUp.
For the technically-minded, kml works in geodetic lat, lon, height coordinates so it is inherently geolocated. That makes it a natural fit for Google Earth. Collada works in Cartesian x,y,z coordinates that need external geolocation information to map them to lat,lon,height. When it contains a dae file, a kmz also includes this geolocation information so that Google Earth will know how to map the model.
The one-way relationship between SketchUp and GE arose when Google bought SketchUp to allow users to create 3D buildings and import them to GE. They didn’t see any need to go the other way, e.g. to import native GE placemarks or other kml geometry into SketchUp, especially as some kml features depend on GE terrain also being available. So they didn’t make a kml importer for SketchUp. Google moved on to other ways of handling 3D buildings and then sold SketchUp to Trimble some years ago.
Trimble hasn’t seen kml import as a pressing need either and a couple of years ago Google terminated the arrangement by which SketchUp could import terrain and imagery from Google Earth and Google Maps. That adds additional problems, as SketchUp’s replacement source for terrain doesn’t exactly match Google’s data. Elements that depend on terrain won’t usually import correctly.