Hello again, axyo:
OK, I found out the situation and the reasoning for it.
It isn't a bug after all, it's on purpose. It seems that some custom player models don't render transparent so Warcraft 3 XP enforces the usage of the original models, being "original" those on the server. Even more the MOD enforces the mp_consistency cvar, so one needs to have the same arctic, gign, gsg9, guerilla, leet, sas, terror, urban and vip models as the server to avoid being booted off.
From a server point of view, one should use the original (as in distributed by Valve original) models to insure compatibility with the maximum number of clients possible.
From a client point of view and in case one gets that message the only thing there is to do is make sure that downloading from the server is allowed and delete the model that renders the error in order to force getting the same one as the server.
My quick fix was the solution after all.
(I'll be closing this bug report, since it isn't really a bug, if you feel that it should be reopened for some reason PM me asking for it)