If 3ds Max displays the smoothing groups correctly then it also has to convert it to DirectX and OpenGL through cutting meshes on the fly.

By the way: If you split meshes then you get open meshes and althogh you got hard edges you lose the chance to use stencil shadows at the same time since stencil shadows need closed meshes.
So there is a trade-off between those shading options and the use of this shadow technique.