You could try to use the Point Cache modifier.
First make your cloth animation in Max. Then use the Point Cache modifier to save the vertex positions of all animation frames.
Then you can remove the cloth modifier and use the Point Cache modifier again, to load the saved vertex positions.
Then you can export your model with the Max_to_Mdl plugin.
I did'nt tested it with cloth animation. But I works with other modifiers like wind, ripple modifier, etc.!