If I remember correctly, you cannot embbed tag informations on a WAV file. Which means that music informations (artist, album, genre...) are not stored on the file but on your local library. So they will not appear if you transfert the file. So I guess that is normal and that would be the case on any player on the market (but maybe I'm wrong and the MTP system could handle this (but I am really pessimistic on it)).
The only solution I see is to have a player which support an other lossless format (one with tag system) : FLAC, Apple Lossless, MPEG4-ALS, Monkey's Audio, TTA or Lossless WMA.