Origin Problems With converted .FBX Models

Title pretty much says it. I set the origin where I want it (the red blue and green arrows with the white circle right?) and then I convert it to .fbx and the Axis’s shift some how. I’ll turn off the rotx 90 option and I ushally see no change.

I’m currently trying to make this one Model but its Z axis seem’s to be tilted -45 degrees no matter what I do. Its killing my prodject. Can anyone help?

Thanks,
CharlesVI