It just becomes a Rhino object - and not a great one, either, because it isn’t responding to boolean difference to change an opening.
I cannot reproduce your issue. I tried to copy a block with some walls inside, that are using a custom wall style, into another document, and everything was copied correctly.
Can you send us the 3DM files your using to firstname.lastname@example.org?
Finally I have been able to reproduce this issue. VisualARQ 2.9 will have it fixed!