Actually there is an exporter that will export them to NIf format but there are problems with some of the internal settings not working correctly so you still need to use NIfskope to adjust some settings after export.
This is correct.
The most common step that must always be done after exporting from 3ds max, is you need to fix the the bslightingshaderproperty. 3ds max exports num textures 6, under the texture set. Skyrim nifs use 9. You should also check "has vertex colors." If you are using a 0 and 1 nif for the weight slider, the NiTriShapes must be in the same order for each nif.
There can be a few reasons why the model isn't working in game. We need more specifics as to what you're making, and how you made it.