only brings in dumb solids, no features. it is just a shortcut opening the NX files because they are parasolids and you don't have to ask for the translated files.
it is still a import of the face data that makes up the solids in SW...sorry not the answer you want but it is the way it is.
If you have the SW Feature Recognition you may be able to convert most of the dumb parasolid data to editable features, but they will not be an exact copy of the original.
I not sure whether even the best 3rd party conversion software will convert exactly, unless you use a conversion service which has NX and are able compare.and tweak.