It has something to do that there is no separate folder for the coal load texture and mesh. It breaks the skin, displaying the coal texture on the side of the tender.
Make a folder called "load" inside the tender's body folder. Move the files labeled coal.tga, coal.texture.txt, coalbump.bmp, coalbump.texture.txt, load.im, and load.kin into the new folder, and place these lines where the coal load mesh is referenced:
mesh "LNER_black_GCR_tender_body/load/load.im"
anim "LNER_black_GCR_tender_body/load/load.kin"
That should fix 'er up. Do this with all of them and you're good to go.