Hi Dave,
Did you mean the gun is missing the texture when you're using it or when the model is laying on the ground/table/floor/etc. ?
Guns are different than regular models because if you need a pickup, you need to have it in the entitybank and then for the actual use (which you can set for the start marker), you also need the appropriate files in gamecore/guns.
Take a look at one of the stock weapons like the colt 1911, you'll see there is both an .fpe and .bmp in the Weapons folder of entitybank, and also the texture, model, HUD, VWEAP, gunspec, and sounds all in the gamecore/guns/modern/colt1911 folder.
Also, the FPE in the entitybank will point to the appropriate references in the gamecore/guns folder.
I'm sure I've done a horrible job of explaining all of that, but basically guns don't store the model/texture in the entitybank folder, they are stored in the gamecore/guns folder.