Do you have a .MTL file alongside the OBJs, even if it's just one MTL file?
Usually what you need to do first is to open an OBJ that has an associated MTL file. When the OBJ Reader node is created, it will set up the materials according to the MTL file (it will create all the shader nodes). Then if you change the OBJ filename to the OBJ sequence, the materials should stick even if it can't find the MTL after that, because the shader nodes are already in your project.
We don't support materials on LWOs.
Matt