I just found this free tool accidently, when I read through DXStudio documentation (because it is free now, and I took a look what it could be used for and how):
http://www.deep-shadows.com/hax/3DRipperDX.htm It can grab one frame from any DirectX application including geometry, textures and shaders, and it can be imported to Max easily, or saved as obj.
Of course not perfect, sometimes it cannot capture the full scene, e.g. in case of 3DGS applications I had no success, but was okay for getting geometries from a Medieval II Total War battle scene (it was nice to see terrain and model lod usage).
Have fun
