Hi Gustavo,
I also experienced some of the problems you mentioned. While I can't give the exact detail of what I did (It's been a while since i did that and I can't really remember the steps I have taken) I hope I can give you some pointers on how to export to MDL format from 3DSMAX.
1. I noticed after exporting to MDL format using the mdlexporter, the animation data is missing (Sometimes it is included but I still can't put my finger on the source of the problem). Therefore, to workaround this, I use Panda DirectX Export Plugin for 3DSMAX (www.andytather.co.uk...It's Free!).
When using this exporter please do not use 'Export Selected' function in 3DSMAX when exporting as the animation will be lost as well. Further note, after importing under the 'Microsoft X Format' in the Model Editor, the orientation of the model will be jumbled up when the Importing (last time around, although when I test on the MED 6.814, it seems to work fine), so, when the Import Window comes up, you have to do some transformation by using the 'Transform' option (Can't remember which axis i changed...sorry).
I also find that the initial pose must be reposition although it might be my model problem.
However, another issue crop up, the texture is missing! So you have to export the Texture file in 3DSMAX and apply it on the model inside the Skin Editor. Fortunately the UV Map is still there so it's piece of cake. I haven't tried using multiple texture so I'm sorry I can't help you on that. Anybody who have tried this please inform me also
.
Hope this will help you somewhat.
Cheers