It’s because the WAV files concerned have tempo based information written into the file header. These are usually ACID files. Cubase automatically recognises these types of files and switches to musical mode when you import them. You can see the tempo based information by looking at the file in MediaBay (look in the right pane Attribute Inspector / Dynamic / Musical).
If you want to stop this happening for the file, you can switch the ‘Follow Tempo’ metadata to ‘No’ in MediaBay (as mentioned by misohoza above). The change is written to the file as soon as you modify the setting. Or you can strip all the tempo / loop related metadata in a program like Wavelab.
Yes, it can be awkward. There’s probably two sides to the story. I would guess that those who work with loops and use musical mode all the time wouldn’t want an import warning because it would interrupt their workflow. I guess the only thing to do is to keep a look out for the musical mode note symbol at the top right of the audio events.