panixia,
Right, sounds odd, but this how it is. I use SU 8 Pro and max 2012. The geometry comes ungrouped to single simple solids, not meshes or faces. So as you said MAX doesn't support sub-groups. Yes, I agree that I can group them in MAX, however it's extra work which I wouldn't do.
As for OBJ - I couldn't open in MAX because of some error (don't remember exactly what it was). 3ds is too large (SKP is around 40 Mb) to be converted within acceptable period of time, thus my choice is SKP. Works very well except the above mentioned disadvantage. Probably I should use layers when modelling in SU. It's kind of things I always trying to avoid since it makes work more complicated. Anyhow, thanks for reply, dude.
I can't attach the original SKP since it's too large, sorry.