Thanks for this post amigo! I hope you dont have to have 3ds max 2011. Because I only have 2013 and 2011 isnt even on their website! Either way I'm watching it as we're talking now. I'll keep in touch.
I have no idea what is wrong with it, except, if you use only the m3 and the one .dds file that I can find in the download... than you are missing a lot of textures.
Weird that you use this model, aren't the models from HoTS now available in the SC2 Editor?
Hence, the model looks fine to me, all animations are there, materials, etc...