Yeah it should have I can see a physics asset associated with all the rocks
I already had animations on the rocks in 3ds max I exported the files using fbx out and baked the animation. When I imported in order to get the anim sequence to come in I had to import the meshes with the import skeletal check box selected this revealed another roll out called animation which in turn allowed me to import the animation sequence.
When the files came in I got a skeletal mesh, physics asset mesh & anim sequence. I dragged the anim sequence into the scene though rather than setting up the skeletal mesh with a matinee sequence.