not a bug at all

It is the path inside the mdl file that points to the skin. When the engine loads the mdl, it grabs the path to the skin from the mdl file.

With fbx files you can have the same problem if a absolute path is written into the fbx file not a relative path.

IT was possible to load the fbx file into notepad and change the path to the skins, a pain in the ass but possible. I can not say if this can be done with mdl files. However there should be a way to edit mdls.