I had this problem, but after searching this problem on internet, i found a way:
"The vertices aren’t welded, so smooth groups can’t function properly. Smooth groups require solid, connected geometry. The solution is actually simple, but painfully tedious if you haven’t modeled the vehicle from scratch. Here’s a brief step-by-step list of what you need to do;
-Convert your object to an editable mesh
-Select all the vertices in your mesh
-In the Modify panel, go to the “Edit Geometry” rollout, and find the “Weld” group
-Weld all the vertices in your selection (“Selected”) using a very low threshold
-Select all the Polygons in your mesh
-Find the “Surface Properties” rollout, in Edit Geometry, and find the “Smoothing Groups” group
-Choose “Clear All” (we’re going to remove all the previous smoothing info intentionally, and add new smooth info)
At this point, your model will still look flat shaded (hard edged). It’s supposed to, since we just removed all the smoothing information. With all of the polygons in your mesh still selected, hit the “1” button to assign smooth group 1 to your selection. Note the visual difference. What you need to do, is manually assign a particular smooth group to each set of faces that you want to have a different angle for. For example, the tire tread on a wheel might belong to smooth group one, and the sidewall might be on smooth group two. Its an artistic decision, although generally the greater the difference in angles, the more you should consider using separate smooth groups. Two walls in a room, 90 degrees apart, should not share a smooth group.
The last step, which might be the most crucial one, and is one everyone has a problem with, is detaching. Yes you need to detach in 3dsmax, just like zmodeler. The reason being, is that max creates a new normal for each vertex in a smooth group. Every vertex has as many normals, as the number of smooth groups it belongs too. There is only one normal per vertex. Detaching separates the mesh and creates duplicate vertices - with only one normal - where necessary, thus preserving your lighting info, at the expense of extra geometry.
To do this:
-CLEAR your selection. Make sure you have no polygons selected.
-Go back to the “Surface Properties” rollout, in Edit Geometry, and find the “Smoothing Groups” group again
-Choose “Select By SG”. It will show a list of the smooth groups in use, choose just one smooth group, and click “OK” (Leave “Clear Selection” checked)
-It will have selected all the faces that belong to that smooth group. Go to “Edit Geometry”
-Choose “Detach”, “Detach To Element” (DO NOT create a new object, or Detach as a clone!)
-Repeat for all the smoothing groups in use on this mesh.
Repeat the entire procedure for all the geometric objects on the vehicle.
Do not use Turbosmooth. Turbosmooth will add extra geometry and average it into the mesh, making a low poly model, high poly. It is not the same thing as setting the smooth groups as described above. Turbosmooth is mainly used for High end CG where poly count is not important, and the mesh has been designed to be smoothed (it doesn’t work properly on any piece of geometry, you have to plan ahead, and model a certain way before the Turbosmooth modifier will properly smooth the model). Unless you’re baking normal maps, you shouldn’t be using it for real time modeling."
And thanks to that i could center in improve the models that i´m working on.
P.D: If the mesh only got “polygonal” when you export it (looks fine in Max), when you gonna export the mesh, check “Alternate normals export method” in Export Reference SMD.