I just tried out milkshape.
Why would I spend $35 on that? Hell I'll stick with blender.
Not to mention, it imports mdx files, but cannot display .blp files! WTF??
Don't say it's better than blender because it's not, in any way. But when it comes to wc3 modding yeah, milkshape owns blender.
There is a plugin for blender that can presumably import/export mdx, but as far as I heard it's more bullshit than it's worth and you can't do shit with it.
One last thing: BLP FILES ARE JPEGS WITH ALPHA CHANNELS! The hell do you mean no program will ever use them? For starters WC3 uses them, Magos's modeller uses them!