I think you've misunderstood the concept, it works exactly as intended. The different LOD stages are saved inside the same file. The engine then automatically switches between the different meshes depending on the distance to the camera/ view, it's an awesome feature!
Thanks Superku, finally works, the problem is on my side.
For my models I used _0 at file name end and therefore I don't see the differences.
@jcl, Problem solved and Thread can be moved or deleted, thanks.