Well there's benefit if ur used to the program , but for bsp levels , then WED is good enough. 3D Max is usually used for making models , characters , and level objects too complex to build off of bsp , 3d max is much more powerfull than Med , so using a modeling program like max is a much better choice for game models. So this all depends on how u are planning to do levels , nowadays , gamestudio has polygon collision, so you can build your levels out of models , in this case , max would be the way to go , you an also use baked in lighting which should make ur levels look really good when imported to gamestudio . So there's definately a lot of options here , as to how you plan on doing things , but using max is definately an advantage , specially for models , there is however that plugin i talked earlier about , with that plugin you can also export your bsp levels from max to gamestudio , so , definately a lot of stuff you should look into. Link to the plugin
http://www.malabar.tv/mlbr/max2gs2.htm