Each nozzle requires its own thrustTransform. Blender will automatically rename any objects that have the same name, and you’ll get empties named thrustTransform.001, thrustTransform.002, etc.
Luckily, Taniwha was thoughtful enough to write the .mu exporter to account for this—when exported, they will all get renamed as thrustTransform. In the config, your ModuleEnginesFX will automatically take care of multiple thrustTransforms.
If you’d like for each nozzle to gimbal independently, you can create one gimbal empty for each. You can create one gimbal module, and like the thrustTransform example above, the .mu exporter plugin will reduce them down to have the same name, and the config will take care of the rest. Alternatively, you can name them all separate things and create separate gimbals if you want to fiddle with their settings individually.
Remember to set up the hierarchy of objects and transforms properly—each nozzle and its respective thrustTransform and engine core effect mesh should be parented to its own gimbal here.