Assuming
$|\psi\rangle=|\rightarrow\rangle=\frac{1}{\sqrt{2}}(|\uparrow\rangle+|\downarrow\rangle)$, then
$\rho_{x+}=|\psi\rangle\langle\psi|=
\frac{1}{2}[(|\uparrow\rangle+|\downarrow\rangle)(\langle\uparrow|-\langle\downarrow|)]=
\frac{1}{2}
\begin{pmatrix}
1&1\\1&1
\end{pmatrix}$.
But then on the other hand we have
$\rho_{z+}=\begin{pmatrix}1&0\\0&0\end{pmatrix}$ and
projection onto $x+$:
$p_{x+}=\frac{1}{2}\begin{pmatrix}1&1\\1&1\end{pmatrix}$ and
$\rho_{x+}=p_{x+}\rho_{z+}p_{x+}^{\dagger}= \frac{1}{2}\begin{pmatrix}1&1\\1&1\end{pmatrix} \begin{pmatrix}1&0\\0&0\end{pmatrix} \frac{1}{2}\begin{pmatrix}1&1\\1&1\end{pmatrix}= \frac{1}{4}\begin{pmatrix}1&1\\1&1\end{pmatrix}$
which is clearly not equal to the $\rho_{x+}$ we calculated above! Would you please let me know if I am missing a point here?!