You also need access to the VMXUSER MACLIB that is located on the same SAMPLE disk/directory where you found the VMXEXITG XASSEMBL file.
It's probably best to edit and assemble the VMXEXITG Exit on VMANAGER where you can do a VMFSETUP for VM:Secure to make sure you have access to the most current copy of the VMXUSER MACLIB.
After you make you changes to the VMXEXITG ASSEMBLE file and BEFORE you assemble the file, issue the following GLOBAL MACLIB command:
GLOBAL MACLIB VMXUSER DMSGPI DMSOM OSMACRO
then issue your assemble command.
If you modified and assembled VMXEXITG on the VMANAGER 191, that means the VMXEXITG TEXT file is also on the VMANAGER 191 so the VMSECURE server likely does not have the VMANAGER 191 minidisk linked and accessed. You either need to put the VMXEXITG TEXT file on the VMSECURE 191 minidisk, or put it on a minidisk that the VMSECURE has access to while it is running.
Remember to add the EXIT to the PRODUCT CONFIG file using the CONFIG PRODUCT command. When you FILE/SAVE the updated configuration, VMSECURE validates all config records including the EXIT records and includes/activates all those config records ... so bottom line, after you FILE/SAVE the PRODUCT CONFIG any included EXITs are loaded and active.
Regarding verification, you should be able to run AUDIT EXTRACT, then, for example, run the VMXSRB report to verify the items you included are not longer showing up in the AUDIT file.