Hi,
If you answer yes to that prompt it converts dimensions and orientations plus makes a few tweaks to the appearance of certain specially named groups in the file. I don't think it's anything to do with your problem.
You need to make sure that the path to the MTL file specified in the OBJ file doesn't have any spaces in it. That's the biggest problem people come across. If your software lets you set that then check that, otherwise open the OBJ file in a text editor and look for a line which starts with "mtllib". It works best if the MTL file is in the same folder as the OBJ file and the MTL file doesn't have any spaces in its name. I don't think the locations of the images should be any problem.
Regards,
Jo