This happens with old FSDS designs without breakable models. You need to manually edit the DP. Look through all the [EFFECTS.x] entries for BREAK commands.
[EFFECTS.0]
; System = Nose Structure
effect.0=10,LIBRARY,fx_smkpuff_s,
effect.1=30,LIBRARY,fx_engfire_s,
effect.2=60,LIBRARY,fx_engfire_m,
effect.3=95,LIBRARY,fx_airexpl_l,
effect.4=100,
BREAK,6,
For any with a value as in the above example change the last line like this.
effect.4=100,BREAK,,
PS. I seem to recall that the MDL Converter Tool will fix it without editing the DP.
http://www.microsoft.com/games/combatfs2/articles_SDK_mdlconverter.aspIt will only work on models that haven't been patched already. Don't use the Optimize Grahics option.