you need to auto set them to be walls / objects cause when you load it it doesnt remember what you set the last time so just apply the settings for them
You can change this in the "Tile Properties" menu. You can also save your configuration as default so it will be automatically be loaded when you use the same tileset again for another map.
As DC stated. The reason why the tileset act like that is because the tile information is set that way. You can change it in the map editor by editing the tileset properties. 2D customizers was a old GameBanana customization studio a few years ago. I'd not recommend using any of their maps as they're outdated and only works properly for outdated versions of CS2D unfortunately. Hope that answers your question.
Every tile property is set as floor without sound as default, like few people explained already you can change the settings for each single tile by hitting the "tile properties" button. If you dont want to do that thing everytime you use thus tileset for a new map you can save those settings and also load them. I suggest you to read http://www.cs2d.com/old/help_mapping.php ,too.