You can only load scalar images (ElementNumberOfChannels = 1) from mhd files.
If you want to load vector images or displacement fields then use nrrd file format (nhdr header file) instead. You can create a nhdr header for your data using RawImageGuess extension.
To load segmentation data, do not store it as color image! Segmentations are scalar images and you assign the color to each scalar value using a color map (or by importing it into a segmentation).
To make a labelmap volume file loaded as labelmap volume by default, add -label suffix to the filename (example-label.nrrd); to make it loaded as segmentation by default, use .seg.nrrd extension (example.seg.nrrd). Otherwise you need to would need to click on “Show options” and “Labelmap” checkboxes in Add Data window.