I don't know if this is happening to you but something that catches me out quite often is the "Enable" drop down on the File Open dialog.
To include Custom Prototypes in your Prototypes strip you have to open the file with "Custom Prototype" in the Enable drop down.
So far so good. But the open dialog remembers the last setting of the Enable drop down (which probably makes sense for other file types but I think not for Custom Prototype). So next time I go to open a .KYM file, if I don't remember to change the Enable back to "Any openable file" (which I rarely do), kyma will open the .KYM file as a Custom Prototype set and get rid of mine.