Jimmy,
I have PS CS3 here. I never used the Vanishing Point filter before, but here are my observations.
Yes, you can export the grid and camera information using the 3ds format.
Yes, you can export just the grid information using the DXF format.
When I imported the 3ds file, I used "Merge object with current scene" and uncheck Convert Units.
Then I needed to make some "Max" adjustments. Photoshop assumed Y is up. I did not see a preference in Photoshop to specify Z up. Therefore you may want to do the following. Select all the objects. Choose Group > Group, to put all the objects into a Group. Rotate the Group, using View and Angle Snaps, until the grid objects have the correct orientation in the Perspective viewport. 90 on X in the Top viewport worked for me. Now, go to Group > Ungroup. Select the Camera. Notice in the Front viewport it is on its side. Rotate the Camera (not the target) using Local on Z.
Now change the Perspective view to the camera. While you did import the PS grids as objects, and a camera, the end result is unfortunately not going to help much. Which is what you found to be true. My guess its a Photoshop issue Adobe needs to address along with a Z is up option.
But, if you know at least one measurement, you can scale the object as needed as a basis for creating other geometry. That, might be useful, such as creating an interior space, or in my example, a trash can.
(Anthony, please research your response before suggesting workflows, solutions or information which is untested or inaccurate. Working professionals come here seeking professional advise.)