This isn't a bug, because the import shouldn't be destructive and I don't really have a good alternative for how this should work.
But in assets, the exp_assets_selections table has columns for field_id and col_id, which point to the old matrix field id and column id. So while the importer properly populates the grid table, the asset images don't show because that table looks at the wrong field/column.
You can manually change them once you're sure you want to use the grid field by updating to switch the matrix id/column with the grid one.
I'm really not sure there's a good fix for this in the importer, since you don't want it changing those values in the actual import.