Here is what probably happened.

The "Material doesn't exist do you want to create it?" usually relates to a Material Collection (mc6) file, because single material files (MT5) usually ask which material zone you want to apply it to. So let's start with that differential.

I think what happened is this ....

The OP added La Femme to the scene, and then added the hair and the catsuit. But I suspect after adding those items, Poser changed focus to La Femme. And, thinking that the katsuit was still selected, the user tried to apply the material to the catsuit but it wasn't the currently selected item.

Sometimes that happens. It's not a content issue, it's a "current item" focus issue. If La Femme was the currently selected item at the time he tried to apply the catsuit material, Poser would expect to see material zones like Skin Head, Skin Torso, Skin Limbs, and so on. But the catsuit material file might only have a single material named Catsuit, which does not exist in La Femme. So, the dialog says "That material doesn't exist in this item. Do you want to create it?"

Answer no. Because sometimes it can be hard to select the catsuit itself and you accidentally click on La Femme, the easiest way to make sure that the catsuit is selected is to use the selection menu in the upper left corner of the document window as shown below. THEN apply the material collection to the catsuit.