Two different programs designed for two different purposes. Autocad is a technical design/drafting program based on precision whereas Max is more of a freeform artistic program used to create content for games and animation where precision and accuracy are not really important. That doesn't mean Max can't create accurate models, because it can, it's just a little more difficult. So it really depends on what you are trying to create and which program you are most comfortable with. It's easier to build models in Max, but more difficult to create them to exact dimensions.
No, there are no real problems modeling in Autocad and then importing into Max.
What type of work do you do? What would you be using Max for? There may be a better alternative for you, like maybe Solidworks or Inventor or Rhino? It just depends on your line of work and what you're trying to accomplish.