I have downloaded and operated the Duchess Series Locos in TS12 successfully - now in T:ane I get the following message when trying to install this loco.
- Unable to load mesh file: 'duchess_lms_maroon_shadow/duchess_lms_maroon_shadow.pm'
Looks like T:ANE is dropping support for PM format meshes. I don't recall reading that anywhere but it doesn't surprise me. T:ANE is getting grumpy about assets not having LOD either but they remain only warnings.
Anyway, PEV's PM2IM tool will convert it/them for you. You can find it via Shane's site here.
I suspect AssetX will also fix it for you by invoking the PM2IM code.
I couldn't work out which Duchess asset you have. The N3V Duchess locos don't use PM files but maybe some of the other creations do.