In Max I made sure to reset all xforms and make sure the pivots were correct before exporting. Upon import Keyshot fails to bring in certain parts of the model, or there will be graphical glitches as illustrated in the screenshot below.
(http://img.photobucket.com/albums/v11/wwarriorww/Generator-1.png)
Are you importing an obj file? For 3DS Max, please pm jbeau - 3DS MAX master!!
Thomas