The .pz3 file may have been corrupted. It happens. 

It's always best to save a figure you're working on directly into the figure library, in your own folder, such as "CustomRoxieWIP01" or something that will distinguish it from the original Roxie figure. Make sure the figure itself is selected before you save it. It will give the option to save as a figure set if there is anything conformed to it like hair or clothes. 

I don't remember whether it is best to use external binary morphs (in preferences) or not. I think it's off by default. I know a lot of people are against one or the other, due to lots of problems with it in the past, but I don't seem to have those problems in PP2014. I just use the default settings mostly.