I doubt there is anything wrong. It is probable that either the dependencies you are missing date back before the boxes you have checked when you downloaded the asset, or most likely, the creator is using a dependency that is not on the DLS but is located on a third party site. I've noticed this is happending more and more frequently as some creators don't want to deal with the DLS any more. I'd suggest a few things.
1. When you download a locomotive or other asset, make sure the boxes are checked at least as far back as TRS2004. I check all of them.
2. Before you download, pull up the "details" popup. Sometimes a note will be in there that a dependency not on the DLS is required, with an URL or the site and dependency name to get you there.
3. If there is still a missing dependency, check in Content Manager to see if there is a readme file, or take a look at the config file and see if there is a notation there.
4. If that doesn't do it, Google the KUID of the dependency. That almost always results in a hit.
5. If all else fails, start a thread, probably best in the freeware announcements forum, with the missing KUID and the name of the item you have downloaded. Someone is bound to pick up on it and provide information for you.
Hope this helps.
Bernie