If you are sure that you checked "Door or window" when importing the model than the only problem I can think of is that your door isn't closed at the bottom. Try again with a sill that closes the bottom.

By-the-way,
The advantage of using a Furniture Library instead of a regular import is that you can set additional properties for models. For a door you can set a wall distance so that a decarative border remains outside of the wall. Otherwise the door will fully adjust to the tickness of the wall.