Not quite sure what you are doing with Overlay characteristics for what you need to achieve.
If I was trying to make a wall opening with bars as in a prison cell as I understand you are truing to achieve I would use the same method as I do for making any other similar segment. i.e. doors or windows.
I would use copies of scripts from a default window segment :
Make models in your model prog to appropriate scales and positions for the bars and another for the punch + a frame for the bars if required either as part of the bars or additional. These effectively replace a windows glass punch and frame. If you dont need a separate frame you can remove references to it in the script file using only your bars and punch.
You should save your bars, frame and punch .x files and the associated texture and icon files in the appropriate locations. Lastly change all the references appropriately in your new script (copied and renamed) files. Thats all you should need do I do not know why you need to involve the segment editor for this - its not strictly needed and is simple enough to do without it using the files straight out of a modeling prog. Just make sure they are correctly scaled and positioned relative to one another as said.
I do it simply this way myself and dont find any problem.
If you use copies of a default window script files for this then you only need change references to your new media and any positional requirements and leave the rest untouched. Default segments work with you using the default scripts dont they? so should your new prison bar segment work with your copies if the .x files are created and saved correctly. Remember though to change the properties for the bars entity in the editor properties dialogue box for the bars if you use the aforementioned default windows scripts as a basis or your bars may be shootable and breakable - just like window glass.
If you continue to receicve the error message - you may like to try converting or saving to .x file or perhaps 3DS before conversion from another modeller or test the x.file for credibility by viewing it after saving in another .x file viewer other than your medelling program or opening it in deep exploration and resaving out from there as a .x file.
I hope that may be of some help and you get a fix for your problem.