Update!
Today I conclude my research about introducing models to TSW.
Unfortunately, it simply can't be done, at least not for the moment. Long story short, the softwares I am using are not compatible with the models of the actual version of the game. This is not an exception though, there are some other games that seems to have the same problem, so we are not alone. I hope Gildor keeps investigating about these cases and could release an update someday, but I have to say he already did an astonishing work with all his projects, so I won't be the one who complains about these issues.

The modified model
The attentive guy will be wondering, "but if the models are not compatible, how did you exported and edited the engine?". Well, here comes the fun fact.
When I do the same process (exporting the models from the game to a 3d modeling software, 3ds Max in my case) but with the ones of the first version of the game, everything works perfectly. When the game was running under a Unreal Engine 4.14, everything could be exported/imported back without any issue, but in the actual version of the game things are very different.
But I had one last bullet to shoot. Having in my possession the AC4400CW of the 1.0 version of the game, what could have stopped me to introduce the model back into the actual game after I edited it properly? It seemed plausible, both are just the same engine. I just had to convert it to the actual version and everything would be happy and colorful.
So, I did it. And I failed miserably. And the game laughed

at me. But laughed hard

.
It seems that the engines are different! I checked the size of both and it doesn't match! This is where I assume that this simply can't be done.
I can't work with a locomotive that is not the same as the actual, because the game rejects it. But at the same time, I can't neither work with the actual one, because it can't be exported to be modified.
It's almost funny at this point. Anyway, I'm done with it. So, I think the project has reached its gold phase (Yay! Yay! Yay!) and it will be uploaded as soon as possible. Stay tuned!
I have to say that it was an amazing experience, hope you all enjoyed the transcription of it xD.