For example, depending on the file format it might just import the geometry.
However, if you use the Geometry Import command, you have the options of including Materials and Textures.
In order for those options to work, the reader must be able to read that data from file, so with some file formats you might not be able to import materials nor textures. For example, you will notice some differences when importing 3DS or OBJ file versus a SLDASM file.
But the CAD gurus most likely can tell you if it is a bug or not.