Hi,
The problem is that the Dwarves_Female_Body_Naked_A_LowerBody_A mesh only contains a partial skeleton, not a full one (in this case, only 4 bones are present in Dwarves_Female_Body_Naked_A_LowerBody_A.GR2, but Dwarves_Male_Body_Naked_A_UpperBody_A.GR contains the full skeleton). I'm currently working on extending the skeleton conform option in the exporter to deal with these cases.
A possible workaround would be:
1) Export Dwarves_Female_Body_Naked_A_LowerBody_A.GR2 to DAE
2) Export the base mesh (Dwarves_Female_Base.GR2) to DAE
3) Copy the skeleton (i.e. the part between <library_visual_scenes> and </library_visual_scenes>) from Dwarves_Female_Base.DAE to Dwarves_Female_Body_Naked_A_LowerBody_A.DAE
This way, you can edit the DAE and re-export it to GR2 without losing skeleton data.