I am not sure of what 3dsmax likes for .obj files. Zmodeler2 has multiple export options, no-mesh-split, split-by-group or split-by-materials, then there two other options, optimize-vertices and use-materials. I exported 6 versions using all with use-materials and with or without optimize-vertices.
I'd like to know what you are working on, is it a game? I have been working on a Bullet GT for rFactor. I am curious of which version works best for 3dsmax and would like to know for future reference. Keep us up to date on your project