The problem: The Import Options dialog box and / or the Split Channels checkbox do not appear when importing an audio file (Cubase Pro only, I think):
This may solve the problem for the OP:
Set this:
File menu / Preferences / Editing / Audio / On Import Audio Files / Open Options Dialog (Select this)
Click OK
Next:
If you drag a wave file into a Cubase 9.5 Pro project and the dialog box does not appear, one reason could be that you previously imported the file. One solution is to delete the previously imported version from the project, like this:
delete any audio events that refer to the wav file,
then press CTRL P,
right click,
select Remove Unused Media,
click Trash.
Then right click, and
click Empty Trash.
After that, if you drag the file into Cubase, the dialog box should appear.
I hope that helps.