When I tried importing a usd file, with MaterialX references or MaterialX nodes, through the Interchange system into Unreal 5.7, the process added USDPreviewSurface Material Instances instead of creating the Substrate materials, in this case OpenPBR shaders. If we export the materials to a mtlx file and import that file separately, the substrate material gets imported correctly.
I am going to give it try to make sure that I have selected those options.
I am importing these assets through python code and I think I select all the render contexts, but I have to double check and do some manual tests to make sure.