I don't know about max, but I've found in gmax that if I import a mesh with multiple textures in, it looks fine in gmax but on export, only 1 texture is applied to all pieces. There might be a simpler way, but I import each piece that has a seperate texture in one by one, make sure they're lined up with each other, attach each to the base, and then export. The mdl looks as it should in game when done this way.
I've only dealt in placeables so far, so creatures might be different.