Well, that is a matter of UV map.
What you should do is to move the UV map one by one, or assign a group to the right material, i.e. Attachments or Figure. (Use ctrl+T in milkshape to call texture coordinate editor.)
I am not a model creator so don't know why, but sometimes people move a UV map outside the frame. In this case a "set to Figure" group, for example, seems to use figure texture file in milkshape but actually use attachment texture file in game.
It is said that "Give a man a fish and you feed him for a day. Teach him how to fish and you feed him for a lifetime," however if you try hard but still fail, start to feel lazy or what, simply use these modified mesh files: https://mega.nz/#!y4BVjAqC!bLDdpkrap...19sr681kauYIF4 What I did is same as above, moving UV map and assign group. The result looks fine in game. (Their posture may look strange in my screenshot because I don't have EB animation. But they should work fine in your mod.)Anyway I think you should learn how to move the UV map. Combined with assigning bone weight, you can do almost everything about merging models, for example, let A gets some components from B.