Microstation supports XREFs. The messages are telling you some XREFs are missing. Another reason you may not be getting what you expect is Microstation supports multiple model spaces in a single DGN file. Thus when you import you have the option of selecting which model space to import from the DGN. Be aware of that option as you may find there are multiple models in the file. I know that older versions of Map (i.e. 2004) do not support multiple model spaces in the import options so if you don't have that option you'll need to find another avenue for getting the data.
Neil Wilson (a.k.a. neilw)
AEC Collection/C3D 2024, LDT 2004, Power Civil v8i SS1
WIN 10 64 PRO
http://www.sec-landmgt.com