You "receive" a SYSMOD into a global zone. You "apply" a SYSMOD from a global zone to a target zone. Precise use of terminology is important in this trade! The library name you gave us sounds more like a target library, so I'd guess (and it's only a guess) you were doing an APPLY, not a RECEIVE. If you are a legal user of the product, I would suggest you call CA support for assistance. If that is not an option, add a sort of dummy DD statement, like
//SDFHLOAD DD UNIT=SYSDA,SPACE=(CYL,(5,5,25))
to the JCL you use for SMPE and try again. The DD name is just a guess, but it might work! You would not get the what I think is the CICS functionality of File Master, but the APPLY will go through unless it is inserting File Master code into an existing CICS load module.
Another option is to review the installation documentation CA sent to you. The might tell you more exactly than I can where this stuff is to go.