I've got a problem with my shadows... I use my 3D Studio Max model with polygon checked 'on'. But when I try to use the default shadows then all the shadows mess up :S
Here, look at the shadow:
Without the flag called shadow the model works well.
You will have this problem with that model in any gameengine when using stencilshadows, as the mesh is open which is something the technique just can´t handle.
You could start to read the manual of your software. A software for 5,000 Euros comes with a huge printed manual for sure. And you have great support for this amount of money. You could ask them. Or you just ask in the Autodesk forums.