Your usage with change_map is correct alright. By not calling start_game, you'll end up playing the default "background" game with some generic settings which may or may not fit your purposes, but should be fine to use anyway.
I tried it myself with a Linux laptop (Ubuntu 12.04 IIRC), and at least there running both the server and client on the same machine worked fine. I could connect to localhost with the game without the exception with the particle effect you seem to be having for some reason.
Also map11 got changed into just fine.
What strikes me really weird here is that the dedicated server build, avoiding unneeded graphics handling where possible, it shouldn't be doing any material parsing or come across with need to attempt loading a material, and I haven't seen it do that either.
Do you have rwr_server.log (from the server folder) I could take a look into? You can send it to me at
support@modulaatio.com or just paste it in pastebin.com or similar.
Is your RWR server binaries from Steam or from
viewtopic.php?f=4&t=2182 ? Maybe I've managed to mess up something at some point with the release. I was using server as got from Steam, and those official servers are as well.