I'm sure the loading is fine, the problem is that your model might not have the same effect. So when you make that particular call, you won't get anything back from the Parameters collection which will cause an exception when you try to call SetValue on it. You will need to make sure that you are either applying the effect to your models before exporting to FBX or X or you will want to set the proper effect on the model after you load it in. I believe switching the effect is as easy as:
foreach (ModelMesh mesh in myModel.Meshes)
{
foreach (ModelMeshPart part in mesh.MeshParts)
part.Effect = myDesiredEffect;
}
Then you can assign the proper effect to your models and you'll be all set.
Hopefully that helps. Let us know if that doesn't solve things for you.