I am struggling with the same thing, with inconsistent results. What I know is gleaned from a VW Help search for "insert door".
In the window or door "settings" menu from either window or door "preferences" before inserting or from the "object info" palette after inserting, there is a tab called "wall detail" that lets you choose the number of exterior or interior wall components. If I set the exterior number to "1" sometimes I can get a window's exterior trim to show as brickmould, i.e., to be set into the brick veneer, but usually I can't, so I have to use polyline in the "solid fill" setting to get it to display that way in top/plan view.
I'd rather not have to use that "workaround" if anybody has any hints.