"Can anyone tell me what I've done wrong? Thanks in advance for any help."

This qualifies as "any help" since it's certainly not of professional grade.

This behavior is similar to Poser's behavior when it can not match a rigging bone in a figure to an object group. It will simply not load the child group that doesn't match up. ie: The internal names do not match. Check to be sure the figure doesn't have any default bones that have not been assigned or match with an object group.

On "FIGIRE_Setup" - I assume that's the generated bone to qualify your new item as a "Figure." You may need to go into the Setup Room and set the Internal name of the bone so that it matches the name of your primary parent object group. So, for instance, if the body of the car is named "body" then rename the Internal Name of the rigging bone for your car "body." If the car is "fully rigged" with real bones and such, you'll need to be sure each bone's internal name matches the name of the correct object group.

The behavior of "everything looks great during the first part of the process and then it's all horribly borked when I try to load the very same figure" is typical... :) Poser had all that geometry already loaded when you were first creating the figure. But, when loading the figure and encountering errors, it didn't bother with it because no rigging matched the group names it encountered. (It loads parented props on figures just fine because they're not of the same class of geometry.)

On scale - Is the geometry as presented in Poser scaled at 100%? IOW, when you had the geometry loaded on the stage, it showed it as 100% scale, right? If not, Poser could have rescaled it, perhaps, to its default scale during the "figure-creation" process and if it was far out of bounds then that could cause problems. For quick/dirty solve, export the object from Poser after you've scaled it down to whatever you need, then import that geometry at 1. (Poser does pretty good with scaling, but it'll also do a few wonky things with it, too. :) )