I have a ritual that I go through whenever I receive a file from an outside source. I first save out a copy of their file to an xref folder and place an 'X' in front of the name so that I know it's an xref. That way, I always have their original to go back to if need be. I then go through the xref drawing and detach all xrefs and image files, (I don't like nested xrefs). I delete all layer filters, layer states, layout tabs and any excess junk around the perimeter of the project limits. I then purge, audit and flatten. This makes the file as lean and clean as possible. Only then do I insert into my drawing. Ever since I adopted this policy, I never have problems with Z values anymore.