After Visual Studio converts FBX file into CMO file seems like information regarding specular/specular power is missing. Tried on multiple files.
Files generated with blender, both BINARY/ASCII, tested on VS2012 Express/Pro
A small tip:
By default Visual Studio sets the effect to Lambert which disables specular. You have to set the effect manually and specular properties for each material (regardless of which shader/effect you planning to use in your program). Which is impossible to do in Visual Studio Express Edition since you don't have Graphic Tools in there.
Can't see any link to uploaded file so adding other link just in case: