Yes, you should be able to use custom media. However, there might be an issue with one of the models or one of it's textures/materials. Or it could be something else. That's why it's important to find out which particular ONE is or which ONES are causing the issue. That way, you can actually report this to TGC and they can try to see what's going on.
It's not an either/or situation - i.e. it's not that you CAN'T use custom media in MAX (heck, that's ALL I use in MAX - my own created models) or that you CAN use any and every model every created. Some objects might have something about them that makes them not work in MAX (an old FBX version that's not supported by the importer or who knows?). Or there might actually be an issue with MAX. Which is why this needs to be reported ... once you find the offending object or objects.
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