This is not a problem. It is how LR works-
1. When you import from your camera card LR first shows you an image that is the jpg thumbnail "Embedded" in the file by the camera.
This embedded jpg is what you saw on your camera screen.
2. As LR creates its own previews from the RAW image (CR2) data it applies its own 'Adobe' rendering of the RAW image information, which may look different. You will see each thumbnail or image change as LR creates the previews.
If your camera was set to "Monochrome" the import of RAW images would first show monochrome thumbnails, then as previews are created they show in colour!.
RAW (CR2) images can be rendered using the Adobe Standard default, or YOU can apply develop presets, camera calibration options, and any adjustments including White Balance.
RAW images will show yellow street lights as yellow- not as how a JPG white balance might be adjusted by the camera.
Well, are you sure about it? Because I've found on the internet the same question but lots of different answers.
Moreover I've shown the problem to another friend of mine who is a photographer and uses lightroom and he said to me he doesn't have the same problem, which looks to him quite strange.
If you are 100% sure I'll stop worrying myself, however I would like other opinions but I see no one is answering for the moment.
Anyway thank you for answering!
Yes, wobertc has the right answer.
First you see the JPG preview embedded in the RAW. A few seconds later, after Lightroom has had the time to generate its own version of the image from the RAW, then you see a different version of the image, which is the RAW with default settings.
If you don't like the way Lightroom has been rendering your RAW photos, you can create develop presets and use camera profiles to produce a "more pleasing" image as the new initial rendering.