I probably shouldn't post in this topic or whatever, but make sure you have the proper model path for the chaos grunt. In the import manager, set the path of the skin to Textures\ChaosGrunt.blp, and for the model path in the unit editor, either scroll down to the right model, or set the path to units\demon\ChaosGrunt\ChaosGrunt.mdl.
Try this, because I'm pretty sure in your screenshot, you're changing the model path to textures\ChaosGrunt instead of the TEXTURE path.