Wolfram Language has its own symbolic representation of special numeric values (e.g.
Infinity) but it cannot handle very well the exceptional floating point values which can be smuggled into the system via LibraryLink inside packed arrays or NumericArrays. As a remedy, starting from WL 12.2, LibraryLink makes a pass over every packed/numeric array which comes from outside to check for nans and infs and it does not let them through. This in turn affects the Import of all formats which are implemented with LibraryLink and MAT is one of them.
To get the old behavior back, one can set the following system option:
SetSystemOptions["LibraryLinkOptions" -> "TestFloatingPointExceptions" -> False]
For MAT Import specifically, there is an alternative in the form of
Import["file.mat", "Data", "IndeterminateValue" -> 42.24]
will replace all indeterminate values with
42.24. You can also set different replacements for different kinds of special values like this:
Import["file.mat", "Data", "IndeterminateValue" -> <|Infinity -> 1000.0, -Infinity -> -1000.0, Indeterminate -> 0|>]