When I import a file from AutoCAD, and use explode on the blocks they keep their respective layers. But I do notice that the layer in AutoCAD when it is a block, is different then the object layer when it is removed from that block reference. Perhaps the blocks are on separate layers, but as individual objects they were all on the same layer?
There is also a Explodeblock command as oppose to explode.
Not sure any of this information will be helpful.