Hi,
I did a few tests with different export settings and I had the same result.
Please correct me if I am wrong but MDL obviously doesn't support smoothing groups.
Here is a workaround (if you need to have your mesh closed):
1. In 3dsmax select all edges you want to be sharp at once.
2. Apply an extrude operation to those edges with Height=0 and Base Width=0 or something very low. Better do this by typing the numbers, not by mouse-dragging.
3. I exported as obj, but other formats should do as well.