I am assuming that you are using integrated mode and doing a structural analysis - rather than using motion...
Pro/Mechanica is best summarised as a linear single part design analysis tool - this is where it is strongest. As such, single parts are what Mechanica is usually looking for. If there is more than one part in an anlysis, you should get a message stating that there is more than one part. Remember that unless you tell it otherwise, Mechanica then "welds" these parts into a single item - i.e. if two parts are mated along a surface, then the interactions where those parts meet are treated as equal and opposite.
Also, a good FEA model is different to a good CAD part model. As such, I'd always recommend using a saved as part as the basis for the analysis, rather than the actual part.
Getting onto the units, Mechanica should prompt you to convert all the parts to the same units, and then pick the unit schema. If the units are mixed in Mechanica, the results will be bad - Force = mass x acceleration has to be true without any multipliers. As most metric models are done in mm-kg-s, to use force as Newtons, that means that the most common schema maintains the mm for length - this means that mass has to be in tonnes, and so density in tonne/mm^3. Another good reason to separate the CAD model form the Mechanica model.
On this basis, KurtStark, you are always better exporting the particular instance of the family table and using that as the basis for the Mechanica model.