the simple answer is:
Not all vst works on all daw's and that is true for lmms too.
You can find a list over those vst, that other users have used with succes:
https://lmms.io/wiki/index.php?title=Tested_VSTs
But a lot more DO work
Also, As the list shows, the OS is a factor
If you like others to dig deeper you need to
post your:
*OS
*lmms vers
*lmms sound device chosen
* names and best download links of the failing vst's