Whenever I see this (often, with parts downloaded from suppliers) it usually means the surfaces are non-manifold, meaning they don't completely enclose a solid volume. Looking closer usually shows a gap in two adjacent surfaces, an improper trim, or some other "failed" geometry manipulation.
There are some ways you can try to correct the problem:
(1) Use the Import Data Doctor to "redefine" the imported feature. Sometimes this can be relatively easy, other times it doesn't work.
(2) You can play around with the Accuracy settings for the part file, and that sometimes lets the geometry be created in a "good enough" state. Not perfect, but it sufficient to move the project along.
As far as Catia being able to read things fine, no surprise - all the high-end CAD packages have their strengths and weaknesses with surfacing. The underlying root of the problem might be that the STEP file has a type of surface that is perfectly okay for Catia but Creo has to interpret it as a type of surface that it is capable of handling, introducing inaccuracies, etc. I just recently had to resort to sending some files to a different division so they could manipulate them in Rhino and fix a nasty non-tangency - stuff I couldn't do, despite a lot of swearing and button mashing, with Creo.
To top your contribution, there is a slight difference between the manifold property and the watertightness of a solid.
On one hand, the watertightness is related to the smallest gap being tighter than the accuracy set in the model.
On the other hand the manifold property has more to do with the logics of the entities. It is about surface being oriented properly for example, or whether all edges are linked to only and only a pair of surface edges.
ie a model can be watertight although not manifold.
I have to agree that all CAD solutions have strenghes and weaknesses. Creo has always offered good performance data exchange wise overall (from my experience being at PTC and off PTC).
One also has to consider the history of model. You can have a hint of it by editing the model with notepad. The CAD generator is listed in the STEP definition.
Asking any CAD to read any STEP files generated by any CAD is wishful thinking but in reality some CAD, in some instances are not able read the STEP they generated.
CAD Data Exchange is not a trivial topic (some people describe CAD healing as CAD surgery) and at the same time, it is very pragmatic: you need to try everything.
