Like you, @mangelozzi, I spent some time figuring it all out, with a lot of very generous help from Maurice and Joan 
As you’ve discovered, with the VRML models, you get the basic “KiCAD only” version:
But once you set up your equivalent Step models, you can then put your PCB assemblies together in MCAD packages and from there do rendering to end up with some pretty realistic looking things 
It’s really worth persevering 