Also, just in case, when loading user samples on the Prophet X/XL, verify that you selected User for Global > 34. Update Library (instead of Add-On Packs) using Soft Knob 3. It's easy to miss doing when having recently loaded Add-On Packs.
The common issue for that message is when the sample directories are in the wrong spot, like when not creating the /px top-level directory, so one has, e.g., /px/u00/…/15 Synth/…. But, it looks like you did that, properly, based on your post.