when I used proe 2000i with 3d max 4, I use the *.obj, and the *.stl format and both worked right.
But if you want to apply different materials in different parts in an Assembly, you have to export one part per time (or the number of parts that have the same materials) and import it (or them ) into 3ds, you can see that (if you repeat this for the whole assembly), that the parts are assembled right (with the right dimensions) from proe to 3ds.
it is an efficient way I think to make the two softwares work together.
but ,as PTC says, pro/e has better kerner and exports better images and animation from 3ds
instead of exporting each part seperately you should export the assembly file. This will save you the effort of reassembling the parts in max, and would also keep your model accurately assembled. The assembly will become a single object in MAX, as an editable mesh object. This can be then seperated using the element sub-object and detach. This way the you can get all seperate parts at one go, and at the same time assmbly would remain intact.