You need to use FBX 2013 version when exporting from Max 2014. Watch this video:
At 2m56, I am getting the same result as you are getting.. Watch the complete video to understand how to export and FBX 2013.
Let me know if that helps
Technical Marketing Manager
3ds Max Design + Showcase
YouTube Channel @LandryMarion
almost a showcase PRO user
if you find my post useful, please give kudos or mark as solution
Do you mean baked shadows that you did in 3ds Max Design? It should not.. but then again.. without visual, it's hard to know what is going on.