Where are you opening the model in CAESAR II: the piping input or the strucutral input?
When you save a structural model in the "structural steel input module", CAESAR II creates a number of files, one of them being the _X file that is needed to plot the steel in the piping model. If you haven't opened and saved the structural model (in the Structural Input), then there is no _X file, hence the message.
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Regards,
Richard Ay - Consultant