Ashley, finally I did a procedure for the bug!!!!
Start a brand new project.
Create a tiled background.
Save the project in folder.
Open the project.
Create another texture.
Save it in CAPX file.
Save in folder but on new clean folder, not the first one, for example.
Check the texture folder, it's missing the first texture and there is only the second, added while the software is running.
It missed to import to the CAPX the pre existent textures and saved on the CAPX only the new texture added when you opened it.
Close the project and try to open it again, it will give you an error, telling you it's missing a texture.
That's it, I was not going crazy =D