I have some problem, when I import OBJ file then choose Texture > Uv Check I get something like that:
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What’s happen with my mesh?
It looks like your model doesn’t have any UV’s at all. Have you clicked the Disable UV’s button at any point? If so, that deleted the UV’s. You would need to restore them.
You can also assign new UV’s in ZBrush by creating a blank texture for your model of the desired size, then using Tool>Texture to assign the desired mapping type (such as GUVTiles).