I believe the .X file does not carry the lightmap. You probably have to export from CShop (or 3dws) as a .DBO file and load that in to get Lmap in one go. I believe you may be able to get lmap using .X, but you will probably need to load two .X files and set some blend op on the second object...
Unfortunately, since dgsdk is so far behind dbpro 6, my guess is the current DBO format _may_ not load into the current sdk.
Haven't checked, though.
Lately, I have been just playing around with dbpro to try to help spot bugs there, hoping that a stable dbpro 6 means a future stable Dark GDK 6...
I have vague plans for World Domination