1. I don't use 3ds-max, but I've seen around these forums that there is a Directx exporter for it. Textures need to be in .dds format (the engine will accept some other formats currently, but it would be best to stick with .dds because those other formats may not work in the future!)
2. No ability to do intro videos at this point, unless the hotfix added it, but I haven't seen any mention of it around the forums.
3. Learn LUA. Better yet, look in the script folder, study how the scripts are written, right-click an entity to see/change the script that it uses. Look in the fpe for the entity to do the same. Play with some of the values in the scripts, see what they do! (back up the originals, of course) Then look in the script forum and see how other people are working their "magic". Then go to LUA.org and learn LUA! Good luck!
MAME Cab PC: i7 4770@3.4Ghz (passmark 9945), 12GB RAM, Win 8.1/64, GeForce GTX645 (passmark 1898); Shiny new laptop: i7 4800MQ@2.7Ghz (passmark 8586), 16GB RAM, Win 8.1/64, GeForce GTX870M (passmark 3598); Old laptop: i5@2.3Ghz, 8GB RAM, Win 7/64, Intel 3000 graphics