The DirectX file will contain the names of the limbs, and the file name of each texture (excluding the path). Arguably you could open the ASCII based DirectX file in a texture editor and search for the texture file in the text, and even edit it directly. This information is retained when you load your object, and all the limbs will be textured providing DBP can find the texture files written in the DirectX file. You do not need to do anything other than apply a material with an assigned image texture in Blender, stored in the same folder as the DirectX file to have DBP handle your texture loading for you.
The best way to understand what is going on is to look under the surface of blender, DirectX and DBP.
Blender's elements are all datablocks; a bit like DBP user defined types. Textures reside in one array, materials are in another. Blender objects contain an array of materials, which inturn contain an array of textures per stage; the issue is Microsft did not design the DirectX format to store more than one texture per limb according to the creator of the export script.
When you export to DirectX format from blender, the script does a for loop on all objects in the scene (or selected objects if the option is picked) that contain a mesh or are empties. Any curve or surfaces need to be converted to meshes. Any duplicates need to be made real. Shape keys cannot be animated in DirectX, but can be exported statically or as bone controlled. 99% Modifiers will work when apply modifiers is checked.
The actual script writes the mesh names, location, scale, rotation and vertex data to the file; and each blender object becomes a DBP limb, and can contain animation data. So Blender objects are as you stated, DBP limbs; giving them memorable names are a good way of describing what they are for when dealing with them in your game engine.
For each limb, the script searches for the first material in the material array, then if this entry exists, it writes the material's diffusing colour to the file (I am not currently sure if it can store more than one diffuse for every vertex); then it searches for the first texture assigned to that material and writes the file name of the image texture to the DirectX file for the limb. It will ignore any other type of texture, including clouds or noise. By default all meshes contain vertices with a UV value of zero, therefore you will not see a textured object in the engine without hitting the U key in blender's edit mode to unwrap the mesh; a reason why it is good to use dupligroups of pre-UV unwrapped meshes.
You could actually open the Python DirectX script and see how it does all of this, it simply searches for all the appropriate datablocks, which can all be referenced via tooltips. I believe the person who created the script is in the TGC community. Looking at the script reveals how you could actually create your own file format. The X3D format is quite a good script to look at because it is XML based.
With Blender you have to use it everyday with your engine to get familiar with their differences. Eventually such practice becomes a valuable investment because Blender can actually be your world editor, character editor and texture editor, but only with practice.
