The only kind of animation that panda's max exporter recognizes are boned, SKINNED animations. Ie, you have to use either the skin or physique modifier. I know that sounds like a ridiculous way to attach a single rigid object to a single bone, but that's life. It does work.
Unfortunately, panda's max exporter is showing its age. It was written by a student who graduated a long time ago, and nobody knows how to maintain it. It tends to crash max. My suggestion would be to avoid it entirely, and instead, use a DirectX exporter. There are several of these available on maxplugins.de:
"kiloWatt X file Exporter"
"Panda DirectX exporter"
You can then convert these files to panda's native format using the "x2egg" utility, and then, if you wish, you can optimize for a particular version of panda using "egg2bam."
Josh Yelon, Teacher, Carnegie Mellon Entertainment Technology Center