In the Preferences panel, you will find the following preference that is related to importing PDF and Illustrator files in your project.
|•||Support CMYK in PDF/Illustrator Import: When this preference is enabled, you will be able to successfully import PDF and AI files that were created or exported in CMYK mode. The colours of the resulting imported image may still not look 100% faithful to its CMYK original due to the RGB conversion. It is recommended that you convert these files to RGB images before importing them into Toon Boom Harmony. Disabling this function will cause all the colours of the imported image to be displayed as red to indicate that the file was not converted to RBG prior to import.|