There are three possible problems:
1.) How did you cook the mesh? Using PhysKitchen( ).cookTriangleMesh or using PhysKitchen( ).cookConvexMesh? If you open the .nxb file created by the Kitchen, what are the first characters (“NXSMESH” or “NXSCVXM”)?
2.) The implementations of the Kitchen methods are not very clever, they just try to find vertices and use them as a vertex cloud. This is fine for simple meshes. Maybe the Max exporter has some features which cause problems. Can you send me the .egg file for analysis?
3.) Problems with the filepath. I assume you checked this already.
enn0x