Any object in Max can be set as a terrain object. The geometry of the object is not important and will not be exported. Only the position is relevant and some properties.
To set one object as a terrain object name it "_terr_something". The object must have all these properties:
 "CELLSIZEX" : how many meters (X axis) will be one pixel of the 
  heightmap when rendered in game. 1=1 meter
  "CELLSIZEY" : how many meters (Y axis) will be one pixel of the heightmap 
  when rendered in game. 1=1 meter
  "MAXHEIGHT" : is the max height of a white pixel on the heightmap 
  in meters.
  "HEIGHTMAP" : is the name of the heightmap file used to displace the 
  terrain 
  "MATERIALMAP" : is the name of the materialmap file used to paint 
  the texture on the terrain
  "LODDISTANCE" : is the distance where it ends doing lod, and just 
  uses a flat texture
You have to export the level with "Export as Terrain Level" in exporter 
  GUI
  You have to use gfxpackage enabled for NR. it will never work on OR
  Copy the world file in the gfxpackage/levels/something dir as always. Plus you 
  need two files in the same dir: the heightmap and the materialmap
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