Max is more forgiving than Autocad, when it comes to creating non-linear models. And it has a much greater toolset which allows you to create models freely, without any restrictions or limitations. That's why it's easier to create models in Max than it is in Autocad. Max was made for doing stuff like what you're planning on doing.
And yes, there are problems with Autocad models when brought into Max. Sometimes poly faces get flipped and sometimes they just disappear completely. So there's always repair work to do. But if you're planning on bringing your CAD model into Max anyway, then I would suggest building it in Max from the start. It will be easier, less problematic and much less time consuming.
The downside is that you're a beginner with Max and the learning curve is pretty steep. Before embarking on a project like this, I would recommend starting off with smaller, less complicated models and learn the program.
The good news is that there are tons of free tutorials all over the internet, (see THIS thread), and you can always come here and ask questions when you get stuck.
So to answer your question, yes, it is worth learning Max. Especially if you will be doing more of this stuff in the future.