When you have the data in an Excelsheet, you could use READEXCEl to read the data directly to a Prime matrix.
Copy and paste from Excel to Prime works, but creates a rather useless table and not a matrix, as so found out yourself. so you are forced to highlight all the table data and then you can copy it in one go to a matrix - quite elaborate. It sure should be easier but unfortunately it isn't
And, no, the current version 10 is not any better in this respect.
Apart from the "copy to Excel -> copy to Prime -> copy from Prime table to matrix" procedure you may use
"copy to Excel -> save file -> read data to Prime Matrix via READEXCEL"
It not much less cumbersome, I guess.
Another option (but still no improvement) I could think of is using an Excel component.
Insert an Excel component, double click it to open it with Excel, copy the data to this Component, close Excel and use an output expression in the component to get the data into a Prime matrix.
But this last procedure seems to be more hassle than the precious mentioned one.
So in short - There is probably no satisfactory solution to your problem until PTC significantly changes and improves copy&paste. However, this does not seem to be in the pipeline.