I think what you mean is that you want the figure to be located neatly with the caption "Figure 1 My lovely MATLAB plot" under it, right ?
In that case you need to insert->float->figure
This will create a floating environment for the figure, with a caption. You should add "My MATLAB plot" there.
Then you'd want to add your figure, go to before the caption and do Insert->graphics
in the file menu add the pdf image you created
You can also scale the image by setting its width or height. After you add the plot you'll see something like this in Lyx
and when previewing you'll get the following in the pdf

Also - you should consider using eps files instead of pdf, matlab exports them just as easily and they tend to scale better
export_figSee also How to avoid large margins around Matlab plot in PDF – Torbjørn T. Sep 12 '16 at 07:09