*You need to click "Save As MorphTarget" as well. Indeed, it is the whole reason for this method. 

You don't even need to click "Existing groups" as long as you have the head (or other target part) selected when you import the morph target. "Include existing groups" merely tells Poser where to put the morph if you select a random body part or the whole body instead of the part you are working on.

By the way, if your head morphs make any changes to the neck, be sure to include Neck when you export (or save as a dialed pose).*

Your technique draws an incompatible vertice error on my pc. You'll soon find out that your best efforts don't always work for other people.