I know little 3dsmax, but when you save the rhino file in .obj (I think to then open it with 3dsmax) opens a window with the various "export options obj file" there is the check "export material features". Maybe it saves you the texture and the various uvs.
I managed to insert the texture into the object saved in 3ds by rhinoceros though, the texture does not spread me in a homogeneous way in the solid !!! but the texture is divided into surfaces ... can I get a homogeneous effect without these subdivisions?? ? Thank you.