It's not normal that GSX will would ask you for "Exit 3" with the NGX, since that is a generic name for a default service exit in a default airplane.
Since the PMDG 737 NGX is a fully recognized airplane with custom doors, the service exits should be referred as "R Entry FWD" and "L Entry AFT", using the same naming convention of the NGX in its fmc gauge.
Have you edited the airplane using the GSX editor ? Maybe there is a problem in the GSX.CFG file, especially if you modified by hand. Try to remove it, the NGX doesn't need a GSX.CFG file to be created, since it's already fully supported.
Check you don't have a GSX.CFG for the NGX file BOTH in the main airplane folder AND in the %APPDATA%\Virtuali\Airplanes folder, and if you have it, remove it.
Another reason why this could happen, is if you renamed the NGX root folder, so the airplane is not recognized anymore as an NGX, so GSX consider it as a default airplane, asking for an Exit 3 that you can't open because it's not there (the PMDG use custom variables for the doors)
