Well - I would first open the Direct.x file with a texteditor (Use TeraEdit if you can - WAY faster than notepad on big direct.x files) - anyway - look for your texture files names in there to see if they were exported and blender screwed up or it DarkGDK.
Aside from that I don't have a lot of info for you - but I know if its ONE TEXTURE "Wrapped" you could load it and apply it within DarkGDK providing the UV coords are all there - and all refer to ONE texture - "cut up".
So far - I get the impression - (I'm still just learning this man-handling stuff for 3d objects in memory) anyway - I get the impression - it harder to "add multiple" textures to a model in DarkGDK - but I could definately be wrong. I haven't had any luck.
I did see commands that elude to otherwise - but I didn't have any luck - and I think MAYBE you can only manipulate multiple images - that loaded with the model - and then you can change UV Coords for the already loaded "multiple images/textures" ...that's my take so far..
I'm using 3wds a bit - and I like it though it gets hosed if different faces of a primitive use different textures. So I use it for "square primitive" buildings etc. But my experiments here are minimal - but this might explain why a couple guys LIT and someone else - (sorry forgot your handle) - are making NATIVE 3dws loaders - probably so they can "Man Handle" all the poly/images/limbs" themselves via vertex manipulation etc.
I've heard people have good results texturing/modeling with Milkshape - I bought it to - but I've yet to be able to texture successfully with it - but again - only dabbling - (terrain my personal issue of late - not to worried about 3d model creation yet) But Milkshape uses the "One Texture - UV Mapped and wrapped" approach afaik.
GameSpace - $200USD there abouts - touts to be the best for games etc - I hear the interface is clunky at first (many are) and it has some really cool add-ons available too - but I can't give first experience with that one yet.
Good Luck! BTW - there is a Shareware 3d format Converter out there - Claims to support a ton of different formats - keep your google shortcut ready and eyes open