I believe that if you made them one shape, each with their own texture, it would be fine in 3DS max, but not if you exported it as a single object.
For example, if you were to make a texture for a sphere, then make a texture for a cone, then weld them together to make an ice cream cone, the texture would not work on the welded object. This is because some of the faces that are mapped on the texture would be covered or even cease to exist.
So, no. If you welded them together into one object, you would have to make a new texture for the new, complete object.
HOWEVER!
If you just merge them in 3ds max, and keep them SEPARATE objects, each with its own texture, it will look fine.
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