please see the section "Global and Local Data Sheets" in chapter "Thermal Library" of the PLECS manual:
In addition to the global library search paths specified in the Preferences window PLECS searches a private directory for each model. This allows for sharing models with other users without the need to synchronize the whole thermal library. The private directory is located in the same directory as the model file. Its name is the name of the model file (without the .mdl extension) plus a suffix _plecs, e.g. plSMPS_CCM_plecs for model plSMPS_CCM.mdl.
The purpose of the local data sheet directory is to allow models to find their thermal data sheets independent from the users thermal search path (e.g. for demo models).
For the Dual Active Bridge demo model the thermal data sheets are located in the directory dualactivebridge_plecs. If you copy the model to another place, you either have to copy the directory with the thermal data sheets too (and rename the directory accordingly) or place the thermal data sheets on your thermal search path.