Are you talking about .sfl files (that contain marker information) or .sfk files (that contain audio waveform information)?
Anyhow, when you drag videofiles from the Vegas explorer, you can hide these unsupported files by deselecting ALL FILES from the VIEW TYPE BUTTON on top of the explorer tab.
And when you drag your video files from Windows Explorer directly onto the Vegas timeline, you can press the TYPE button below the menu bar in Windows Explorer to group all your video files together…
Theo