Strange, the only reason the thumb mesh would disapear on reload is if the thumb bone was named differently than the mesh, if poser doesn't see a bone for the mesh group it wont bother loading the mesh group. check your internal bone names, and as phionix said you need to make sure that both the thumb and the dummy bone are separate children of the hand, not in sequence. if they are disconnected as you said, when you go out of the setup room than that may be because you didn't reselect the hand after creating the dummy bone and before creating the thumb bone.