On some models, you may be able to "Edit" the model, and separate the materials, and from that separate the model pieces. I have done that with some of the included Vue content as well as imports from other programs.

Other models that you import may be textured, or may just have shaders. Most models I have used that weren't already Vue specific VOB files, I have had to tweak once imported. Some a little, such as Pozer files, some extensively, such as some 3ds files that have no textures included.