Hi,
yep, it could be that you see the smoothing as correct in Max but it turns wrong when you export.
First be sure you have all the vertex of each element correctly welded, and apply the "Reset Xform" utility to discover which triangles aren't correctly oriented. Flip these who are wrong.
And of course you have to apply the detach to element function to make the smoothing look good, as well as to use always smoothing group 1 (and only that).
You can find more details about it in a thread located in this same section, i guess you didn't see it: http://historicgt.8.forumer.com/viewtopic.php?t=1778
Regards