I've had similar issues with creating vray proxys. I've exported the vrmesh from 3ds max, imported into sketchup via vray, then apply textures to the proper materials. Then I save that SU file as "tree 1.skp" or whatever. I usually have no problem opening this file later and rendering - the textures/materials are still showing up.

However, when I'm working in another scene and import that same SU file with the proxy, the textures will not consistently render.

When I sample the materials of the proxy, the texture shows up in the SU material editor for about a second, then it disappears, it seems like the vray material editor which has lost the link to the texture overwrites the SU material - so it defaults to a solid color.

Not sure that helps, I could be doing something wrong but in the end I need to place proxies without re texturing all the time.

Chuck