There are a couple of issues with those units.
First - the one thing, that i believe to be responcible for the trouble:
Some tool (KFM Converter) was used, to re-reference the KF files within the KFM (so they can be called AMBASSADOR_***.KF and so on). It is not 100% confirmed, but there are grounds for concern, that this tool might cause mess ups on occasion, i.e. in combination with modular or packed assets (are you using one of those methods ?).
Here are the threads i am refering too, however IIRC nothing definite was found out in the end.
http://forums.civfanatics.com/showthread.php?t=270008&page=2
http://forums.civfanatics.com/showthread.php?t=271331
I would recommend, using the original KFM + KF animation set, when in doubt.
You need to find out, what unit your ship is based at, copy those animations into the ships folder, and point your Art Define <KFM> to those animations (While Nif/Shadernif point to the new ship.)
To find out you can open the mofied KFM in a plain text editor. It's mostly unreadable, but file references are plain text. Somewhere in the beginning a SOMETHING.NIF file is listed - this is the original unit.
For example the Ambassador.kfm references "Cruiser.Nif" - so its based from FF Cruiser.
Copy the Cruiser KFM, all the KF und judt to be sure the Cruiser.nif (since it's referenced in the file) into the Ambassador folder. Now keep the <Nif> and <ShaderNif> pointing to the Ambassador files, but redirect the <Kfm> definitions to the Cruiser.kfm.
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Another Issues:
This one might or might not cause trouble:
The files use .jpg textures (apparently packaged in the nif).
Usually Civ4 uses external .dds textures, that need to have size of a power of 2 (128,256, ...) - that i cant check, since the Textures are packaged.
While the nif viewer can display those units, the Civ4 ingine might not be able to do that - i do not know. At any rate its much more taxing on the hardware, than the default setup.
(The models beeing very high end overall - very high polycounts and huge texture memory)
Another thing - not cause of your problems, still:
There is no point incuding a normal and a _FX file wich are in fact identical (both Non Shader) - ie. with files that are about 2 MB. Just point both <Nif> and <shaderNif> to the same file.