Exported models seem to have their materials with the "Unshaded" attribute, so they are not affected by lighting. You can check it in the
Sanity Test tool in the MDL View:
If you downloaded the model in .mdl format, you can fix it by opening it with a text editor, look for the "Materials" section and remove the lines containing "Unshaded".
If you have a .mdx file you can use an MDX Editor to edit the materials directly, or export it to .mdl and use the above method.
If you were successful you should be able to clearly see the difference in the world editor:
Keep in mind that for some models some materials may be "Unshaded" on purpose, such as eyes that are supposed to glow in the dark or so. If you remove the "Unshaded" attribute for those materials, they will just not glow. In the previous screenshot, for example, I think that the eyes of the worm are supposed to be unshaded but I removed it, I think it is not that noticeable. You can fix that too if you spend some time doing trial and error or using a proper model editor to decide what textures should keep the "Unshaded" attribute.