Sorry I got the names messed up it's not "_LOD_01" but "_L1" at the end of your object name, etc... And the LOD have to be in the same FBX, not separate FBX. Tried and it worked !
So you duplicate your object in Blender, apply to the copy the "decimate" modifier, rename it with "_L1" and repeat the process. Make sure to duplicate your LOD 0 object each time when applying the "decimate" modifier.
Guess I'm just not good at figuring this out, meh =P