When you import a Word table, Frame (oddly enough) doesn't treat table heading rows as headings -- everything is a body row.
You can open the new Frame document as a MIF, then run a Word macro on it. The macro will find the top row of a table and turn it into a heading row. Note that the macro includes code that looks for a table tag name so that you can run it on specific table tags (but only one at a time). Also, note that if the table already has a heading row, it will add another.
Download this PDF -- its last page contains the text for a Word macro.