Look like at least the skid plates are included according to this review, not sure if this has been posted before but it's a good review into he capabilities of the Lightning
According to Ford, the entire underbody of the Lightning is a steel skidplate to protect the battery. What the reviewer says in the video just after being asked a question at 21:45 is:
"Basically, what the Lightning did was have the FX4 package as standard."
I don't think that his statement is meant to imply that it is an FX4, just that it's as capable as the FX4 in the traditional F-150. Since Ford buyers are already familiar with the FX4 package.