All meshes can have sub-meshes, and each mesh or submesh can have only 1 material.
If the converted mesh is only one mesh without any sub-meshes, then the little arrows won't appear.
When you are converting the mesh, at importing you need to ensure the 3D model gets imported with each object separated.
If you are using blender, At importing ensure you select the option "separate objects by Group" or if it does not work, try with "separate objects by Material"
At exporting in the options you need to ensure to export 1 sub-mesh for each object in the scene, or to export 1 sub-mesh per material in the scene.
The Oogie Boogie 3D obj model came with the next 10 objects groups, each one with a different material, so you can have the model correctly exported if all is done correctly.
Mesh.009_rdmobj05
Mesh.008_rdmobj04
Mesh.007_rdmobj07
Mesh.006_rdmobj06
Mesh.005_rdmobj01
Mesh.004_rdmobj00
Mesh.003_rdmobj03
Mesh.002_rdmobj02
Mesh.001_rdmobj09
Mesh_rdmobj08