Haven't had a need to do this myself, so was more talking about the general issues NX can offer the user.
If you followed the instructions of the NX documentation, it could be a bug and should be reported to GTAC.
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NX Customization - Best Practice Guide
Ok, after these days working with this probe that I made, I finally figured out what the issue is here. Forgive my ignorance if that is too obvious for the experts, but I do want to share the solution here, in case someone else comes across this problem.
1) Create a tool and place all the auxillary geometries into one layer other than the work layer. Note that it doesn't matter which layer number that you put the geometries to. You can place the geometries to layer 2 or layer 100, what have you.
2) Export the tool to library.
3) Retrieve your tool in manufacturing environement. Now you may see your auxillary geometries showing up in tool preview, even though you hide them in modelling.
4) Resolve the problem by doing the followings
(a) Highlight the tool
(b) Click on layer setting
(c) Make the layers that contain auxillary geometries invisible.