After you leave the setup room there will the a new prop in the sceen. Figure1_Setup or soemthing I can't remember what it's called exactly. These will be the parts that didn't get grouped. Have a look at that prop. Export it ot another app in necessary. This wil reveal the elusive ungrouped polygons.

I pretty much never use poser's grouping tool to divide a figure. It is way to awakward. I divide my figures in Max but almost anything woulod be better than the grouping tool. BUT I do use the setup room. Once the object has the right group names there is no faster way to rig it.