Construct arrays have a specific JSON format, as on your third screenshot. If you can change your JSON string to that format, then you will be able to load it directly into the array with "Load" action.
Otherwise, if your JSON string is like this - "[1,2,4,10]", you will need to loop thought all these values and insert them into the array one by one. Something like this:
JSON Parse AJAX.LastData
JSON For each element
Array Insert JSON.CurrentValue