My guess would be that the values for one of the attachment points is wrong or reversed since the tender seems to cover the cab. Asset-X or one of PEV's utilities should be able to sort it out.
I'm using WHR NG 143Black, 138 Dark Green in 2012.
<Kuid2:403746:608:1> and <kuid2:403746:605:1> by edh6
They show as one unit not seperate Loco,Tender, Water Tank
Theres also several other colours
The tender and water tank are part of the bogies which if the attachments are not correct or if the reversed tag in the config.txt file is not set correctly could result in what is shown in the picture by the OP. However, I have downloaded four of them into TS12 and they look correct. I do see that the OP's most recent Trainz version is TS2009 so I loaded them into that as well. Here the three meshes appear correctly but the shadows appear as in the pictures above.
westrain - My thought now is that you might not have the latest versions of the locomotive and their dependencies so I would suggest re-downloading them and make sure they are the latest versions.
You need to upgrade your TS2009 to the highest service pack for these locos to function correctly, as they make use of features not available in lower versions (position and rotation tags). I was unaware of this at the time of release and as such gave them a build number slightly too low.