If you decide to use PSD in your document you'll be able to handle its layers. Image layers have nothing to do with your document layers. They are just relative to the image placed inside the frame.
To set image layers you can open the extended image properties in several ways:
From the Image Frame contextual menu select Extended Image Properties
From the Image tab of the PP, click on the Extended Image Properties button
Extras | Manage Images has an Image Tools tab that includes an Extended Image Properties button too
If those buttons or menus are not there, it is because your image file doesn't have any of these properties that you could be using.
Once you have displayed the Extended Image Properties window, you'll see the image structure with several images combined, at the bottom and with the others above each other. The left-hand column shows a preview of the content of the layer, the middle column shows applied masks that are used to hide some parts of the layers, and on...