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The correct error message is "Unsupported pal indicator in PCX file". Thus, it's not a bug but a missing feature. It seems that pal stands for palette and describes the setup of internal palette representation (internal to PCX file, not Irrlicht). The only supported pal indicator is 12, whatever that means.
It might be not too hard o add some more supported features of PCX if someone has the definition at hand and knows a little about bit shifting and things. At least some of the missing features in other file formats were not too difficult to add. But I don't know PCX and even don't know if it's really a feature needed. Maybe you can adjust some parameters to get around this special subformat?
Thank you for your explanations. I tried saving in indexed mode and that solved the problem. So, for anyone else who stumbles on this, PCX is only supported in indexed mode.