Cue files are a bit special case and their support is not as comprehensive as the support for standard media files. Perhaps the virtual cue tracks are internally set to be not included in the standard file handling routines and thus do not work with the "ignore" feature.
I usually import cue files just by dragging them to Playing Now and right-click importing the tracks directly from there. (There is an import command in the right-click menu. Alternatively you can select the tracks in PN and drag & drop them in the audio section in the tree - this also changes the status to "imported".) I have never actually bothered to test if the auto-import features would fully work with cue files.
I use mostly individual track files in my media library (the old gapless playback problems were resolved a long time ago), but sometimes I create cue sheets for stuff that is not coming from standard audio CDs and don't already contain invidual tracks (e.g. personal recordings, extracted DVD audio tracks, audio books, etc).