The problem:
When you drag'n drop in 3ds you will be promted with merge/open etc. you click the merge button and it will begin to load, at this point if you click on another window not related to 3ds max and the file is finished loading 3ds max will cancel the import / merge and you will have to do it over again.
This becomes extremly annoying when merging many files into scenes.
My suggestion:
Make it so that when you import models into 3ds max it will start by setting the location for the merge if 3ds max is not selected, this will solve the problem easy.
Best Regards
Chri688m