It's the way Lithunwrap exports .x files. Only as one mesh.
However you can get round this if you just want to UV map the model in Lithunwrap and keep the model's limbs seperate. Here is how.
1. Model your seperate limbs( meshes in Anim8or)
2. Seperate each mesh to a new object in Animator.
( by selecting a mesh and cutting, then object> new. Paste till all seperate ).
3. Select each object in turn then object>export (select obj as this wont triangulate model, unless you want too )
4.Take each model into Lithunwrap in turn UV map then save back out .
5. open Anim8or and import first model etc.
Now you have a seperate object again for each mesh so just cut and paste objects back to one object and export as 3ds so you can load and use limbs however you want (assume you mean into DBC or Pro)
Long winded but least free way
else Buy ultimate unwrap (what lithunwrap turned into.I find it's well worth it as it will suport .x with animation /limbs and loads of other files . makes a great converter to a lot of files not all perfect but what is
)