Hmm... interesting. Does anybody know any gmax/renx model specific settings that would stop you from applying a skin? Well, you can apply it, but it doesn't show up.
DJRowley, tanka found the fix to this problem. Its really very easy. Just click on a piece of the model, but click on Display (beside Utilities) and check material color.
My system has never displayed w3d materials properly.. they're always white too.. I wouldn't worry about it if I were you.. so long as they still export properl and show up on teh w3d.