Hi Victor,
Yes, that's right ... the cgf file is the one used by CryENGINE3. If there is not a valid cgf file in the levels folder nothing will show up in the Geometric Entities part of the Rollup Bar.
Your description above tells us that the export process isn't being completed. And this is most likely due to an error in the RC Path setup in PlayUp (the model export path is right because the DAE and MTL files are being created in the right place).
Double check your RC Path in the PlayUp preferences and make sure you click on the rc.exe when you are setting the path (not just the folder that it's in).
Cheers