I think I understand this now.  As nickedshield wrote, the pieces aren't parented and thus parent to the first figure they find in the scene.

Loaded the mediterranian scene - chairs, pool, house

Loaded Hiro

Now the Mediterranian objects were all part of Hiro.

But they can be selected from the Props menu.

The hair issues are somethng different, and are fixed by parenting to Hiro's head, as suggested.