Usdz objects from Asset Store loose materials

I downloaded a free scetchfab usdz
Simple_Things_XYZ_School_DAILY_CHALLENGE

As I save is as native usd, all the materials are lost.
What can this be?

if I drag the downloaded usdz to fresh USD scene, materials are visible.
I can also use “collect assests” command to gather all. So this way works ok.