Because it's not a supported file.
Just because Windows will recognize the file it, and Resolve does hook into the Windows file browser to locate files, doesn't mean Resolve can use it.
MKV is not supported in Resolve. You'll probably need to transcode your footage before using.
Try reading this:
viewtopic.php?f=21&t=56379Resolve was not designed as a web-centric software platform for making youtube videos, but comes from a long history of professional video production which never supported the proliferation of codecs available to casual users on the web.
This is not a slam, but a simple truth; only certain files have the proper data structure to be manipulated by Resolve. More are being added, that's for sure, but I doubt it will ever be totally compatible with all known video formats.
There are answers to your questions on this forum; you just have to dig a bit to find them.
Oh, and you really should read and follow the first link I posted: viewtopic.php?f=21&t=69837
"As this is a user forum, the majority of your support questions will be answered by other users in the community. In order to assist you with your queries they will need the same detailed description of your issue that any support team would.
For example, which specific version of Resolve. v14 is not enough detail. You need to provide the exact version string, such as 14.3.12. This can be found from the DaVinci Resolve menu in the ‘About DaVinci Resolve’ window.
You should also report the exact OS version, hardware platform, number of and type of GPUs being used, storage type and other setup specific details. Many users add this information to their forum signature. This can be done in the Forum’s ‘User Control Panel’.
When reporting your issue, be as detailed as you can with steps to reproduce the problem. Post online a screen shot or phone video of the issue if that helps explain..." and so on...
This is not asked of you to torment or waste your time, it is done to provide people information upon which to make an educated guess as to how to help you solve your problem.
Jumping in with incomplete information and claiming to be not impressed with a program that routinely grades a large portion of all professional video and DCinema imagery around the World really doesn't gain you allies in attempting to help you solve your problems.