Oh duh, it all makes sense now. The plug-in is designed for 3DS Max 7, and I'm using it on 3DS Max 8. So that difference in version must be why my spheres & cones are exporting that way.
When you click on export, 1 dialog box pops up. It asks for the number of key frames, a tick-box if you want to generate a log file, and also the scale of the model.
OMG, this sucks real hard. I've been trying to avoid having to use blender, ugh... I happen to have Max 7, so I guess I'll try that out. I hope it will work correctly. If I stay stubborn, I won't be any different than those Microsoft dolts.