This is because the editor isn't looking in your directory for the entities. The best solution is just to dummy your entities into a "custom_ents" entity folder inside "entities". Place all your entities in here, and work on the entities in this folder (after copying, delete your current ones in the custom story folder). Then when you are done editing your story, copy that folder across to the custom story folder.
You can also try opening MainEditorSettings.cfg.
You will have something that looks like this:
<Directories EditorHomeDir="HPL2" EditorTempDir="Temp" ThumbnailsDir="Thumbnails" MapsDir="maps" StaticObjectsDir="static_objects" EntitiesDir="entities" LightsDir="lights" BillboardsDir="billboards" ParticlesDir="particles" SoundsDir="sounds" />
Change it to:
<Directories EditorHomeDir="HPL2" EditorTempDir="Temp" ThumbnailsDir="Thumbnails" MapsDir="maps" StaticObjectsDir="static_objects" EntitiesDir="" LightsDir="lights" BillboardsDir="billboards" ParticlesDir="particles" SoundsDir="sounds" />
This tells the editor to start looking in the base directory, and so you can load in an entity file stored in any subdir, and not just in the entity subdirs. This however, means you have to sit through a massive lag when you first navigate the entities folder though, which is why the first solution is better.