xxx_diresaint_xxx, what I've noticed with your models is that the UV's are completely absent and no UV snapshot can be taken. Those models do not appear to be texture mapped although you have applied different colored materials to certain polygons. When I bring up your models in Maya I get no UV's what-so-ever, and that's a big problem when it comes to texturing time. The game and any modeling software won't know what parts of the texture go into which polygon at what orientation.
For an example of what I'm looking at, this is how that futuristic/upgraded Miranda I made comes up:
http://www.personal.psu.edu/zjb105/Stuff/UVTexturemaps.png. The UV's aren't great for it, but they were mapped by me using the automatic mapping feature in Maya as a temporary solution. When I do the same with one of your models I get absolutely nothing in terms of UV's although the grey, red, and blue do appear on the physical model itself. It looks like you're coloring the individual polygons or vertices, which normally isn't done since texture/uv mapping gives you more control and provides better results when rendered.
I did a quick Google search and came up with very little about UV texture mapping in the XSI mod tool. However, I saw several places that there's a hello world tutorial or something like that that goes over texture mapping. I'm honestly not sure since all I know how to do in the XSI mod tool right now is basic navigation. The controls are radically different from what I'm used to.
I haven't been able to try again with the convertxsi tool, but thanks for the help and I'll post here tomorrow if I get things to work.