I can't imagine it would make a difference into which object it was that you had added the custom file (they should really all be fine, in my experience). I personally will include any custom files into a parent object, so I know where to look if anything needs to be changed/removed in the future.
The point of the custom file process is to have DesktopX add a reference to some external file that needs to be included. When you add in images through the states tab, you are implicitly creating references to the images added there, so those will be automatically included.
If you rename the resulting .dxpack/.desktop file generated after exporting to .zip, you should be able to find any additional images/fonts/etc within there.
Glad to hear you were able to get it working though at least
Mike