The NEF files are imported without the processing applied to JPG images. Lightroom has a number of ways to correct this.
1. White Balance 2. Auto Tone 3. Develop Settings 4. Auto Develop Settings
The first two are in the Library module. The second is the Develop module, and if you have a set of Develop setting that you want to use regularly, you can set them up as Auto Develop Settings in the Import dialog.
IIRC, Capture NX 2 can extract the metadata of the imbedded JPG and apply those settings to the raw image.