No,
There is a "generate atlas lightmaps" option under compile/lightmaps. It gives you some choice about size and dxt compression(I use default), then it asks to look for obsolete lightmaps. If you didn't do that, you don't have it. Those atlas images are the only ones that get packed into the map. The individuals ones are just used by the editor.
At some point you need to start getting familiar with the files and checking that the editor did the right thing and that the packing script worked as well. The editor is notorious for screwing up and not saving correctly, etc.
~edit: I checked your map in game. Most everything is lightmapped. I see a few missing on buildings I've never seen before. You probably don't have the samples for those or for some reason they didn't get added to the atlas. At this point you can try to fix that and lightmap them idividually, then "generate atlas lightmaps" when done. You don't have to lightmap everything again. I'm not sure what problem you are having with the nebelwerfer. Those player controlled objects don't take lightmaps or leave affect the lightmaps of other things. They have dynamic shadows in game. It should break a lightmap but wont help make one either. Otherwise it's looking pretty good. You can fix those missing lightmaps later.
If you don't see any lightmaps in gmae, it's because your graphics settings are too low.