Ahh, you will also need to make sure you bring over/import any animations that came with it. I think from Blender most have exported from blender, imported to Maya, then used the character rigging tool, then export the fbx files. Sorry I misunderstood as a material swap instead of an entire character/animation swap.
If you just want to change the material of the existing arms (turn the blue arms to something else) and still use the existing anims, etc. Open the properties of the HeroFPP_Skeleton asset under Character and change the material under it’s Mesh properties.