As I look back through NX parts I've received from clients, it seems that every NX assembly is really a multiple body part, where I have to select each one to export separately. I have no idea why I receive assemblies this way.
I did run a quick test, where I threw two parts together to make an assembly to export as a parasolid. I couldn't seem to select the assembly. I had to select the parts individually, but I could get all of them in one file. Creo did recognize the the parasolid file as an assembly, but it started naming the parts test_1.prt, test_2.prt instead of the names that were used in NX.
My apologies if this wasn't much help. I just try all the options I can before ruling something out.