I've been passing a few days of my holidays with my relatives and came back yesterday. I've had this warning when trying to import CF_D0.fbx:
[WARNING] Invalid UV index table(s) - One or more objects define the UV mapping by POLYGON_VERTEX but the index table
has less entries than the actual number of polygon vertices. The missing entries
have been assigned an arbitrary value. Depending on the affected vertices, the resulting
mapping may be corrupted. CF_D0
It seems that only one single standard material (CF_D0Mat) is assigned to the whole mesh instead of Multimaterial with several slots and support for different textures, like your last example.
CF_D0Mat doesn't point to any texture but specular and glossiness values seems corrected.
No texture shows in the mesh even when manually one is assigned in the material slot.
Most of the parts of the mesh can be selectable as elements but whole mesh have ID 1 assigned only.
That invalid index table may be the culprit for some of the above, probably.
Anyway, hope it helps.