Geometry will be assigned to Rhino layer named after the object's Revit Category.
Due to Revit and Rhino API limitations RAY is subject to unexpected behavior based on your machine configuration. It is suggested to perform a manual dwg import in Rhino to unlock API import capabilities if it was never done before, otherwise RAY won't be able to import geometry.
For more information about how to manually import a dwg in Rhino follow this link:
Rhino Autocad dwg import
Write to [email protected] if you keep having issues with RAY.
Starting with Rhino v7 these issues should not exist anymore.