Actually, that's not correct. A lot of us here have been using models with multiple textures. There is a whole thread on it. You need to first modify the fpe file and remove any reference to a texture. Then just make sure all your textures are there in the same folder. Works really good.
System Specs: OS - Windows 7 Home Premium 64-bit SP1, CPU - AMD Phenom II X4 945, 3.0Ghz, RAM - 8Gb DDR3, GFX Card - 2048MB NVIDIA GeForce GT 640, FPSC-R Version - Beta 1.007