A small tip when exporting meshes from Max - apply an Edit Normals modifier and on the active modifier under "Average" check "Use Threshold", then set it to 0.001.
Also, make sure that Edit Normals is on the top of modifier hierarchy, just before you export. Otherwise the model will turn "edgy" like your horse above.
(https://i.imgur.com/Ik5tlXt.png)