It should be possible if the input CityGML consists of surface geometries (not 3D polygons). The Geodatabase writer (note: this has to be the ArcObjects version which requires an Esri license, not the API version!) should also preserve the appearance textures for multipatches, but it only supports single-sided appearances, which is a shortcoming of the Geodatabase, not FME.
By the way, the workspace template from the FME Hub that you are using will drop all incoming textures, because there is a GeometryCoercer in there that converts surfaces into 3D polygons (so it also won't write multipatches to the Geodatabase). Polygons cannot have textures, but they can only have a color.
If you can't get it to work, I could have a look at your workspace, if you are willing to share it here?
I'm not sure how the CGML is built. I got the models from here: http://www.businesslocationcenter.de/berlin3d-downloadportal/
Anyway, I managed to solve the problem with a workflow I found here: https://github.com/Esri/3d-cities-template
Thanks for the quick reply and useful info, though.