It's called the curse of the Wavefront. Every 3d program reads and writes OBJ files, but no two of them can agree on how to interpret them. I don't have a working copy of ZBrush on my machine at the moment, so I can only guess. From what it looks like, ZBrush creates a new object whenever it sees a 'g' (group) statement (assuming that the file you're using is the original Runtime:geometries:Antonia.obj). There are various ways to fix that, for example using UVMapper, but you'd have to ask the ZBrush experts for specifics. Basically, you want to strip off the groups and materials, save them in an extra file and apply them back to the morphed version.

-- I'm not mad at you, just Westphalian.