The file is solid inside (even with Hollow inside on), so your slicer fills it with its own light infill: a sealed empty space in the middle could not be printed cleanly. The file has no colours, so it prints in whatever colour is in your printer. The colours on screen are for buying bricks. A multi-colour printer can paint it, but you pick the colours yourself in your slicer (the app that gets a file ready to print).

The STL has no colours. The multi-colour 3MF saves each brick colour as its own part, named for its colour (Red, Blue, …), in the same shape and size. Bambu Studio keeps the parts together and sets each to its own filament number (1, 2, 3 …): add that many filaments and pick a colour for each. That was checked there only. That file is for Bambu Studio only; OrcaSlicer is built like it and probably works, but it was not checked. PrusaSlicer has its own button: the same model as one object with a part for each colour, named for it and set to its own extruder (1, 2, 3 …). That was checked with PrusaSlicer's command line (the parts, their names and extruders survive a save), not in its window. Use the button for your slicer. In the wrong one, the Bambu Studio file opens in PrusaSlicer as separate loose objects, one per colour, with no extruders set, and the PrusaSlicer file opens in Bambu Studio as one part with no colours (both checked). A slicer holds at most 16 filaments: with more colours than that, the rarest share the filament of the nearest colour, and the page tells you which.

Studs (the bumps on top) are only added where you can see them. The file is upright, flat on the print bed and in millimetres. Print at 0.2 mm layers. Stepped sides usually print without supports; big overhangs still need them.