The technical reason is that PTC, formerly the Parametric Technology Corp, doesn't default to creating parametric representations of imported geometry and so they don't really qualify as model tree items. The elements of the import are all accessible via the Import Doctor if any of them need to be deleted or modified as non-parametric items.

Catia patched parametric modeling onto their non-parametric modeler, so they kept the old functions to bridge over the old users.

So is there anyway to extract all the Data from the "Import Feature" to create model tree items?

For example a point cloud and a few surfaces?

Just the same as "extracting" any part of any other feature - copy and paste should work, but they still won't be parametric.

Is there some reason they have to be in the model tree rather than in a feature that is in the model tree?

I want to be able to turn some of the points and surfaces on and off without having to setup layers.

Ok. Layers are the easiest thing to handle in Creo, but not everyone cares to learn to use them well enough. Usually it's because they don't read about layer rules or think those are too complicated, even though they are just using search and saving that to the layer description.