In renx be sure to check the bones 'export transform' and uncheck 'export geometry'. Then export as hierarchal model and uncheck 'use external skeleton'.
For the muzzleflash everything looks alright. I don't think you have to check 'optimize collision detection' though as I don't think the Generals/Zero Hour engine uses an axis aligned box tree for this.
You could try using
this importer that I made. I never completely finished it (because I'm lazy

) but the only thing not functioning are animations and that shouldn't be a problem here.
Place the file somewhere on your hard disk, then in renx go to the utility tab (the one with the hammer icon) and then to max script. Open up the max script listener, clear any text in there but keep it open. Then select run script and select the script you just downloaded, you should get a floating window with only an open button. Use it and select the model you want to import.
After the import there will be some information printed to the max script listener that you opened. This is the material data the way it was applied on the model before it was exported. The materials will be named something like:
Material 1
Material 2
Material 3.1
Material 3.2
Material 1 and Material 2 are just standard W3D materials. Material 3 is a multimaterial having Material 3.1 and Material 3.2 as its sub materials. Material 3.1 and Material 3.2 are again standard W3D materials.
Listed under these materials are all the non default values. They are also created in the material editor with the exact same name and applied to the correct meshes (and faces in case of multimaterials). So now you can select the material in the material editor and set the values by hand which should take no more than a minute.
Now in your case you can also use the importer to compare your settings to the settings of the original model to see if you missed something.