I see your using the figures supplied with Poser, so you probably need to uncompress their geometry files.
These are in the same library folder as the CR2 for the figure, and can be uncompressed using the script supplied with Poser.
I can't remember if the binary morphs are a problem, but they usually are,so if you using any morphs at all, make sure you turn off "Use external binary morphs" before saving your PZ3.