This is by design. If you import a MIDI data to an existing project, the tempo of the original project is kept. If you import a MIDI file and create a new project the tempo of the MIDI file had been used.
Try Unchecking in preferences the box marked ignore Master Track events on Merge
Save first before you import the midi track as merging one tempo track with another can be a little interesting.
I wonder why it is called “master track”. In the manual we read:
Ignore Master Track Events on Merge
Ignores tempo track data if you import a MIDI file into the current project. The imported MIDI file will play according to the current tempo track in the project.