Where possible, effect settings and compatible instruments are loaded, when importing Cubasis projects with Cubase.
Where this is not possible, the track itself will be imported with no instrument/effect loaded, leaving you the option to choose a Cubase effect or instument. As mentioned before, In these cases it might make sense to use TrackFreeze.
There is a TrackFreeze setup option available, which lets you decide to keep the frozen audio track, after unfreezing a track.
This might be helpful, if you want to import both tracks, e.g. the original MIDI track and the rendered audio mixdown via Track Freeze.
Hope that helps!