I also tested to export the same model 3 times with correct naming: lod1, lod2 and lod3 exactly the same model (a working one in the game). And it didnt even work then. So i really dont think there is anything wrong on the "modelling" end.
I also think it is something with a missing folder somewhere or a well hidden setting ^^
It works okay converting smaller models (total number of vertices around 5000), even though the object editor throws up an error message.
Take another look at the 'Easy Barn' tutorial.
The new buildings have 3 LODs each.
http://graviteam.com/forum/index.php?topic=9671.0