I almost never editing WMV recently... but if I remember in the past, WMV is quite hard to edit.

If specific edits required from this media, then I better transcode / convert them first to, say, ProRes.

I'm with @set on converting to something, errrr anything else. Use the Shutter Encoder to convert to ProRes and your life will be so much fuller. I'm agnostic on whether the Vegas developers should spend a phempto-second on making Vegas handle WMV better.

Wmv's are a bit before my time, but I think like mp4 they are a container and there's quite a few codecs that could be inside. Anyway I tried a sample MPEG-4 v3, and notice Vegas primarily only uses 2 cpu cores, it's a similar situation to why HEVC plays back badly on Vegas, you have 32 cpu cores, but Vegas only uses 2, if those 2 cores are fully utilized frames are dropped.

I tried with Premiere Pro, It also plays back poorly, streaming formats aren't really meant to be edited

How popular is WMV today?

I almost never seeing this format anymore... but I remember in the past, when High Definition was still in early days, I'm excited when seeing WMVHD format and samples. It's the only format that I knew which I 'accepted' as delivery format that time.