By deploying machine-learning algorithms at the network edge, edge learning can leverage the enormous real-time data generated by billions of mobile devices to train AI models, which enable intelligent mobile applications. In this emerging research area, one key direction is to efficiently utilize radio resources for wireless data acquisition to minimize the latency of executing a learning task at an edge server. Along this direction, we consider the specific problem of retransmission decision in each communication round to ensure both reliability and quantity of those training data for accelerating model convergence. To solve the problem, a new retransmission protocol called data-importance aware automatic-repeat-request (importance ARQ) is proposed. Unlike the classic ARQ focusing merely on reliability, importance ARQ selectively retransmits a data sample based on its uncertainty which helps learning and can be measured using the model under training. Underpinning the proposed protocol is a derived elegant communication-learning relation between two corresponding metrics, i.e., signal-to-noise ratio (SNR) and data uncertainty. This relation facilitates the design of a simple threshold based policy for importance ARQ. The policy is first derived based on the classic classifier model of support vector machine (SVM), where the uncertainty of a data sample is measured by its distance to the decision boundary. The policy is then extended to the more complex model of convolutional neural networks (CNN) where data uncertainty is measured by entropy. Extensive experiments have been conducted for both the SVM and CNN using real datasets with balanced and imbalanced distributions. Experimental results demonstrate that importance ARQ effectively copes with channel fading and noise in wireless data acquisition to achieve faster model convergence than the conventional channel-aware ARQ.