How to remove default sheen?

[micheus]

What is PBR one?

Take a look at this post: Be ready for PBR

Also, when I import a cube from Blender then apply a Wings material to it, it remains matte. It doesn't go shiny like the native cube. I can even assign the same material to both of them and one will stay shiny and the other will stay matte.

As ismacou, it's related to the hard edges.
In Edge selection mode [E], you can define them by your own selecting the edges you want to be hard and use the command Hardness which will offer you the sub options: Hard, Soft and Invert; or you can let Wings3D help you by using switching to Body selection mode [B] and selecting the object you intend set that and apply the command Auto-Smooth. You can use the [LMB] Left Mouse Button to select the command and the default tolerance angle will be applied or you can use the [RMB] Right Mouse Button to access an input dialog where you can define that tolerance.

This is the Camera Light visualization mode which your can use to see/set the PBR materials. The screenshot bellow is the same as your and it has the Work Mode turned OFF (which isn't the default - notice the cube icon close to the gear icon) - that is why we don't see edges:


This is the same setting as above, but with the Work Mode turned ON - now we can see the edges and the orange ones (right) are the hard edges - the way Blender has been exporting. Wings3D doesn't assume that by default - you must to define where you want they to be:


An this is the Hemisphere Light visualization mode: