As far as I know, the only way to bring in 3D DWG is to open it as a Library Part. The Merge command will only bring in its 2D part.
The reason some parts of the DWG do not appear may be that they were created by some AutoCAD 3rd-party Add-On. They can only be properly displayed if the Add-On is also installed in the receiving application (another AutoCAD copy with the same Add-On in it). I think this is why flattening "works" because they 2D/3D generated by the Add-On is converted to native DWG entities so any other application will be able to read it and handle it.
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In addition to what Laszlo says (about 3D DWG opening as a library part) ... You can probably use the convert-to-morph functionality to convert the result to morph faces if you need to either edit or assign layers to bits and pieces of it....
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