In my experience, smoothing groups set in programs like 3DSMax do not translate over to .x files. The way I find it works is smoothing is set by the texture mapping: should two UV coodinates be placed on top of each other, DB will smooth the associated vertices together if it can.
Basically, if you want flat sides on something, make sure each polygon is unwelded and seperate from all the other polygons. Whereas, if you want a totally smooth effect, make sure your UV coodinates are completely welded together. Of course, with most mapping, it's impossible to weld absolutely all the points together, meaning you're likely to have an unsmoothed seam at least somewhere on the mesh.
Anyway, this is only what I have found. Although it works for me and 3DSMax, it might not work for everybody and there might well be more to it than what I've found out.
Hope this helps!