I hope I can explain what's happening...
1 - Created a new project and saved it with the option to save EXS instruments and samples OFF (so it wouldn't save them inside the project's folder).
2 - Created a new EXS24 track with a blank setting so I could drag and drop my samples. Then I dragged 3 fx samples.
3 - Saved that new EXS as "fx.exs" inside the project's folder, on the root, not inside any other folder.
4 - I saved the project (since I have added that EXS track) and it automatically created the Sampler Instruments folder and the Samples folder, even though it didn't add anything there. This, by itself, is something I never understood about Logic. If I selected not to save any of those, I don't get why it creates the folders, but anyway...
5 - Closed the project, opened it again, opened the EXS, made some changes and hit SAVE to save the project itself, not the EXS instrument.
First weird thing: it now saved a version of "fx.exs" inside that Sampler Instruments folder instead of just saving the file itself on the root.
Second weird thing, it changed the name on the EXS instrument window to something completely different as if I have loaded a new instrument, in my case it's called 808 Spinz.exs, but when I open it using the Edit button, it shows me the 3 samples from fx.exs.
Third weird thing: those 3 samples now have that orange circle with the exclamation mark and I get the warning "The file "fx" doesn't exist", BUT when I play on my keyboard, it plays the sounds.
6 - When I open the EXS24 Relinker app and drag the original fx.exs file (the one on the root of the project) it shows me the correct path (samples are inside the Audio Music Apps folder). Logic is just not recognizing the exs file itself.
7 - When I drag the new fx.exs that Logic created and copied to the Sampler Instruments folder, it shows me that the path is "Project's Folder > Samples > FX (even though there's not even an "fx" folder inside the Samples folder)
My goal here is to only save whatever I select into my project's folder. I use a lot of custom EXS files, but I don't want them all inside my folders and I rarely edit them. I would like to being able to once in a while drag and drop some samples, save that EXS inside the project's folder (because that's the only place I will be using them) and then being able to update that file with this whole mess happening.