I finally solved the problem.
I used the original SU2ASE exporter. You can download it here:
http://www.russelllowe.com/publications/caadria2009/caadria2009.htm (Click on SKETCHUP EXPORTER RUBY SCRIPTS , I don't like to put the direct link).
You will download a zip containing different exporters. One of them is called SU2ASE. There is another called SU2ASEUT (for unreal engine, in theory it would be the right one) that produces glitches, too...
Unfortunatelly I had to manually set the scale to 40x. And the texture... that's another problem. The texture is applied to all the component or model, not the different parts of it, (as it happens when the other exporter works). And the texture is applied with a escale 2x bigger...
I hope I can manually fix this
This is the result:
If someone can tell me how to manually "paint" the models... the alternative solution would be to fix SU2ASE to prevent erasing the information of the different place for textures, as Hard PCM's Exporter does (I believe that you can't understand me, due to the way Unreal Development Kit works and my english). But I don't know ruby programming
Edit: NO! I have detected glithes with this exporter too, with some missed faces... see here: