In the Import dialog box, the Embedded and Sidecar option can be a good thing. Don't disable it simply to resolve something else that you don't understand.
Its purpose - why many of us like it - is to help when you are reviewing new pictures and deciding which to keep / trash / process.
Before E+S was introduced LR used to process the raw data when you zoomed into a raw file. But every raw file consists of large JPEGs "embedded" in the raw file, and zooming in on these can be much faster, which helps the more images you shoot. So the embedded and sidecar option was introduced to take advantage of these embedded previews.
With this option, you see the Embedded Preview message and a little icon with arrows (no, I don't see why they chose this). While these are there, in Library you see the camera maker's processing, like you see on the rear LCD. For a while, that is ideal for many of us. But if you then add some kind of LR adjustment, whatever the camera did is less important and Adobe's processing takes over. This explains the changing appearance.
Now I hope you understand what's going on, I recommend living with it for a while. You may decide that it's not for you, or you might see how you can take advantage of it.
John