Importing MGZ file as a volume atlas gives the option to display the name of the region under the cursor in the MRI viewer:
https://neuroimage.usc.edu/brainstorm/Tutorials/ExploreAnatomy#Subcortical_regions:_Volume
However, if your goal is to display the ROIs defined in it as surfaces in 3D views, import it using the popup menu Import surfaces instead, with the file type "Volume mask or atlas".
I added a new option to add any surface to any 3D figure.
When you have an open 3D figure with the SEEG electrodes displayed in it, go to the Surface tab, click on the button "Add surface" on the top-right corner of this tab, then "Other", and finally select the surface to want to add to the display.
Update Brainstorm to get this new feature:
https://github.com/brainstorm-tools/brainstorm3/commit/34dc6557a1ee0cb0c61f96f9d6d1889362109990