Dear friends!*
I faced with the problem of using Lightbox materials.
Materials for double-clicking transfer in the left window “Material” and at the same time apply to all subtools.
Using Color -> FillObject to each subtool saperatly with different materials does not help. It is effects on all subtools
Please help to decided this problem.
Are you pressing down on M (Material) next to Rgb on your shelf first - before going to ‘Fill Color’ ?
Try doing the process ‘by hand’ rather than Lightbox (import your material, then assign)…
Hope it helps 
Thanks. But I am pressed only M, then double click on material in LB and then apply FillObject.
I think it is some program bug.
Now I findI found a regularity that when select material from the left menu "Material’ - it works good -
May be ZBRUSH perceives double clicking as applying material to whole object (subtools) ?