When you dont want to detach then you have to create a new bevel (or maybe it is called chamfer in Max).

The reason is: DirectX or OpenGL does not know any smoothing groups. It can display hard edges only with

- splitted edges
- the help of a normal map
- vertex normals
- dense geometry in the close area of these edges (chamfers, bevels)

The Max export has to deal with the smoothing groups and has to transform them into anything mentioned above. If it cannot handle this automatically then you have to do it manually. And Ctrl+X/Ctrl+V is really not a problem at all, except you need closed meshes for stencil shadows.