For troubleshooting, I find it is a good idea to work in stages of complexity.
If your custom asset is not showing up, I would recommend bringing it right back to simple. You could try the following steps.
Create a primitive object in your modelling package. A square or a sphere. Make a copy of a simple GameGuru asset (one that has no custom animations or scripts), place it in the USER folder (just to keep things tidy) and replace the X file with your own (renamed). This will test if there is a problem with your export process in general, because you know everything else works.
If this works fine, try exporting your object (no bones or anything fancy, just the mesh) and repeat the above. This is a more advanced version of the above test..
If this works, try the full model export and repeat the above process. If this works, then it's safe to say that your model is exporting correctly.
After this point, it's safe to say the model is OK, so the problem may be with your textures. In that case, I would recommend doing the same style of tests as shown above.. such as...
Take an existing PBR asset, copy it into the USER folder and replace the X file with your own. Test to see if the textures work correctly on your model. Then replace those textures one at a time with your own until it breaks.
It's a slow process, because you are just making one change at a time, but it's a good way to isolate where a problem is.