hello
when I used proe 2000i with 3d max 4, I use the *.obj, and the *.stl format and both worked right.
But if you want to apply different materials in different parts in an Assembly, you have to export one part per time (or the number of parts that have the same materials) and import it (or them ) into 3ds, you can see that (if you repeat this for the whole assembly), that the parts are assembled right (with the right dimensions) from proe to 3ds.
it is an efficient way I think to make the two softwares work together.
but ,as PTC says, pro/e has better kerner and exports better images and animation from 3ds