You could just fix the problems. For most stuff it's not that hard.
For example, there isn't really anything wrong with the bogey, the problem is that it doesn't have a mesh table and in the absence of a mesh table Trainz (or at least TS2010) makes an assumption on where to find a shadow mesh. (In this case it takes the asset-filename, tacks _shadow onto it, and uses it as a folder and file name thus you get:
Error: Unable to load mesh file: 'd9_bogey_shadow\d9_bogey_shadow.pm'
The simple fact is that the bogey doesn't have a shadow mesh.
If you want to convert the progressive meshes, open the item up for edit in Explorer and use PM2IM on the mesh files. (Using the Strip Textures option in PM2IM can solve some errors talking about missing textures when the texture files are not missing at all.) For the bogey in question and some other items, CMP will complain with an error if you do the steps below but don't convert the mesh so you should do that. Other items will work fine with progressive meshes. Not sure what determines which items it'll let you use progressive meshes for.
To fix the shadow mesh complaint I do this:
1. Right click the item and choose to open in Content Creator Plus. (Or use Ctrl+Shift+C.)
2. Click OK on the message box that pops up.
3. This probably won't happen for every item and is optional, but if there are any empty text boxes on the screen that show up in yellow, with a warning in the log at the bottom saying the tag is empty, then click the X next to the empty yellow text box.
4. Expand stuff on the left side till you can see the mesh-table entries. In this case there will be default and shadow.
5. Right click shadow and choose remove.
6. This step is not always required. If you converted the mesh earlier to an .im file with PM2IM, click default and then click the ... button next to the red text box. That'll be a standard open files dialog. Find the .im file and select it.
7. Select File|Save and close CCP.
8. Right click the object and do "View Errors & Warnings" and see if anything shows up. (In this case, if you converted the mesh and did all the other steps, there shouldn't be any errors or warnings. If you didn't clean out empty tags, then it'll complain about that but should still work in Native mode.)
Edit: Oh, and fixing the BNSF Dash 9-44CW is even easier. Open it for edit in explorer and delete all the digit*.texture.txt files it is complaining about. When CMP complains about being unable to load a texture for a texture file, like this below:
Error: Unable to load primary texture 'digit_1a.tga' for texture file 'digit_1a.texture.txt'.
that usually means the author left some stray .texture.txt files around that aren't actually used. (Far as I can tell that locomotive does not use the multi-number system those textures would be for.)
Edit2: As far as using stuff, the biggest thing to keep in mind is that faulty assets will not be usable in Native mode. (Warnings don't count, and anything built-in will be "usable" in native mode even if it actually has errors. Which some stuff does. And even TS2010 includes built-in content that uses progressive meshes.)