Feautures NOT supported by GMAX:
-Animated Textures
-Multi Layered Materials.
-SuperSpray (Particle Emitters 1)
GMAX has an extra step when exporting, compared to 3dsmax. When you hit export, the model will be printed to the listener. After that you must use an export grabber. I suggest using YAGG:
http://yagg.doubleshadow.wz.cz/
The method is simple: click "Export" and once it's finished, run YAGG and click GRAB, then save it as <Your model's name>.mdl Afterwards just open it with magos or guesst's mdl->mdx converter. I strongly recommend you use Guesst's MDLX Convertor Version 1.04 [look at the link below]