Feature Class To Geodatabase tool output in ModelBuilder does not have the option to import the Layer Symbology as the output of the tool is a workspace or a feature dataset. The option to import the symbology that you see is under the data type tab to be used with the feature set data type.
If you want to add the layer symbology, you can create another model with just the Iterate Feature Class Iterator and define the layer symbology to the output of the iterator. For the input to the iterator use the geodatabase that you used to output your shapefiles.