Could be a bunch of things:
1. Is the model made of Triangular polygons? I haven't tested it but it would stand to reason that if it isn't it may not show up at all ingame.
2. Are you sure the model isn't showing up at all? I may actually be VERY VERY big or VERY VERY small, the scale in Max has a direct equivalent ingame.
3. When you exported the model was "export geometry" enabled on all the geometry parts?
4. In Gmax, was the model ABOVE the XY plane. If it's BELOW that then it'll be underground ingame... and you wouldn't be able to see it obviously
