That’s right - the OBJ is not a figure, it’s just a static prop. If you want to use it as a figure you need to bring it into the Figure Setup pane and give it a hierarchy based on its groups, or you need to export and import each group as a separate OBJ file, which ever is easier.
As I said, you use the Figure Setup pane - right-click in the Geometry panel, import your OBJ. Choose the type of rigging you want at the top. Drag the OBJ from the Geometry panel to the Hierarchy panel. Drag and drop the bones to arrange them as desired. Right-click to change rotation order, welding (if needed). Click Create. Now use the Joint Editor tool, and the polygon selection adn weight painting tools for tri Ax figures, to set the rigging up.