Make sure you have a custom skin equipped to your Lancer:
- Press start to open up the menu. Select CUSTOMIZE.
- Select WEAPONS. Select Lancer MK 3. Select Skins. Choose a custom skin for your lancer. Hopefully you'll have at least one.
From the starting screen select CAMPAIGN -> ORIGINAL CAMPAIGN
Select and start a NEW GAME +
Pick a save slot and on the lobby screen of CAMPAIGN +, you will see a tab labeled as
NEW GAME + SETTINGS
SKINS, MUTATORS, AND MORE
Select that and move down to CUSTOMIZATION
From here Turn on ALL WEAPONS USE MULTIPLAYER SKINS.
I picked Act 1 Chapter 2 which is the shortest chapter in the game. It is basically a tutorial level.