Drives me crazy. Every now and then, I run into this issue. I'm not sure if I need to address it. or if I should ignore it.
But it does happen... sometimes it's just one file.
Or maybe I'm handling texture files wrong?
So when I finish building of the model, the first thing I do is export the 2 yft files.
Then I export the textures from the screen below or re-save the files.
Maybe that's not the best way to get the textures from all the other parts/groups?