MoMo,
This is a new one to me - but that only means that I haven't noticed it, not that it hasn't been there the whole time...
Does the EMX file contain the Z-order information? [If it does not, at least in some easily identifiable form, then this is likely a lost cause.]
If it does, then you might be able to write a short automation routine to handle this. Something of a post-processor. The routine could iterate through the diagrams in either EA or the EMX file - whichever is easiest, as long as you visit them all - and capture the Z-order of each element from the EMX side. Then it could 'renumber' the DiagramObjects on the EA side. It sounds like a bit of work, but it would likely go pretty quickly with .Net or Java, or any other language with good regular expression handling.
Perhaps you should submit a feature request or bug report to Sparx - depending on how you view this issue. Use the appropriate link from any forum page. You'll find both links below the Support link at the bottom of any forum page.
Quote the title of this thread, and the thread's URL into your comments when you make the report. This will allow Sparx to participate in this discussion, and perhaps suggest solutions.
Please also let us here in the form know what you learn from Sparx, if anything.
HTH, David