Cannot import .fbx model with textures from Sketchfab

Current process to reproduce it:

• Download the .fbx model from Sketchfab
  
  
• When unzipping the file I will generally obtain this structure
  
  • source (with the .fbx)
    
    
  • Textures
    
• Import the .fbx model into my assets with Right Click > Import New asset
  
  
• The model doesn't have textures when it's dragged into the scene
  
  
• Select the asset
  
  
• Click on Materials
  
  • Location: Use Embedded Materials
    
    
  • Textures is disabled (Not sure why)
    
    
  • Materials: Extract Materials (If you click on this you can just create a folder with all the materials but no textures)
    

Basically I cannot extract the textures and I'm forced to import them into the assets and manually assign them to the materially (which is really too long as process).

I have checked several tutorials on YouTube which were using Location > Use External Materials (Deprecated) but it doesn't work either.

How can I fix it?