I made a brush a few days ago and used it on a project I’m working on. Reloaded the project today to continue working on it and now brush is gone. Does Zbrush not save the brush menu when append it with one of your own? I even did a search on my computer for *.zbp and didn’t see anything created before January 1st, 2013. 
The Project file contains the most important elements loaded in ZBrush:
- Document size and colors.
- Loaded Tools and their SubTools.
- Current Tool position.
- Camera position.
- All maps assigned to a Tool or SubTool.
- Floor visibility.
- Perspective value.
The Project file doesn’t contain:
- Textures residing in the Alpha or Texture palettes.
- Position of the elements in the User Interface like opened menus.
- Brush settings if they have been changed, or brush inventory.