If it's possible to share the file you intend to import, I could give it a shot on my end.  I'm using Max 2012, but it might tell us if it's an issue with 3dsmax, or if it's the file, etc.  If you saved the vector file as DXF, and it still will not import, then that could be a sign of a problem in the vector file itself.  The same with saving out to legacy Illustrator 8 format.  I've always been able to import AI legacy 3 or 8 formats without issue.

Here's an older step by step for working with AI in Max 4, which should be fine for any later version of 3dsmax, because the AI compatibility has never really been changed since then.

http://www.peachpit.com/articles/article.aspx?p=23690

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