Well, I guess I solved my problem. I had downloaded the D800 pics from the CF card using Nikon TransferNX. This must have corrupted the files and they could not be saved after doing an edit.
So I uninstalled Nikon TransferNX and then installed the latest ViewNX2 version (2.6.0 I think it was) and the result is that I can now edit and save NEF files shot with the D800 in Capture NX2. Problem solved. Perry