Since NX9 or NX10 the way the Material attribute is handled has changed. NX wants to have control over the value of the "Material" attribute and looks to the Material assignment in the part. When there is no solid, or the solid has not material assigned, it wants to blank the "Material" attribute. It looks like you are running into that restriction here. If you want to assign the attribute, you should assign the material to the solid in the part. The "Material" attribute is then automatically filled with the Material Name. If you don't want to use Material assignment, then you should choose an attribute that is not defined in your customer defaults.
ps. "Material" attribute stands for the attribute name that is defined in your customer defaults as shown in your message.