Raino, I knew there was something about this I’ve also been wondering about before in the past and I remember now? It’s a window 7 thing! I’m on 10, latest version. When I drag and drop midi files from Windows Explorer onto a track it retains the *.mid file name regardless of the Preferences > Editing > Parts Get Track Name setting. This setting will only influence the dragging from one track to another within Cubase.
I switched to Windows 10 early 2016 and when the occasion was there and I dragged a file from Windows Explorer I was surprised to see it kept it’s own name but didn’t pay much attention to it because I usually drag from programs like BFD3 & Superior Drummer3.