Hmm, I dont know the answer, but I found that if I didnt have a pickbox at all I could select anywhere on the mesh.I know its not ideal but it should serve at least a temporary solution.
Im sure it has something to do with the W3d export settings, maybe if you have a look in the renx how-tos it might shed some light.
I have the same problem.
In Oldfaq's infantry tutorial, he says something about selecting "NullLOD" in the w3d options (where there would normally be "Export Geometry" and "Hide")
The bad thing is that I've tried it and it doesn't work...