To test to see if this issue is restricted to the training mission I downloaded the other FMs and placed their pk4 files into the FMs folder. After installing, playing and saving the game I exited TDM and then restarted it. Unfortunately the same tomfoolery occurred, with a status of there being no FMs installed. For some strange reason the FMs get installed into "D:\Program Files\Steam\steamapps\common\doom 3", not "D:\Program Files\Steam\steamapps\common\doom 3\darkmod\fms".