When you import a DWG file the objects that make up that DWG file are added to the selection set. In the current implementation that selection set is a special case (based on an imported file of data objects) and it is locked so you cannot add or remove data from the selection set. You can however select all of the data in that selection set, and any data that you exploded out of blocks that came in with the DWG and make a new selection set and then lock it.
You cannot remove a Selection Set that is tied to the source CAD file unless you remove the source cad file (which would remove the selection set.
It can be debated for sure whether or not blocks that you explode from an imported DWG file should be added to the selection set of the imported file or not - I can personally agree that maybe that should happen, however I will likely end up debating the pros and cons of that with the Development Team because I guess Blocks can contain data from other DWG files etc etc. and it is not 100% clear that data exploded from a DWG is in fact part of the source DWG file, because it is different data - you can also keep the original blocks or delete them during the explode process, which would mean that the exploded elements are in fact additional to the DWG that was imported.
This is a tricky subject, depending on what the purpose was for the Selection Set in the first place (which is to track which objects came from which files etc.
For now I would suggest import the DWG, Explode It, Make a selection set of all the data and then create a VCL of it and import that into your master project. That way the Selection Set is created for the VCL containing all the Exploded and native CAD objects.
Alan