Try using the function "dbLoopObject" instead of playobject... I think that with that play command(also depending on where you have it in your code, keep it outside the main loop, or control when it can execute if its in the main loop)
I think PlayObject will just play the animation through once. And experiement with the speed, I use the panda exporter for MAX09 myself, and I have noticed that it tends to do some strange things to the files(or maybe its GDK loading it strangely ive not looked to hard tbh), for example, I have a model rigged and animated in max, its 30 frames of animation for an idle loop, timed to play out over 3 secs. When I export it from MAX, I load it into GDK, it has something like 50,000 keyframes of animation(instead of the 30 its meant to have) and I had to set its speed to over 12,000 to be able to get its timing correct.
Also, the Panda export options need to be set a certain way if you are going to export animation and have it affect the mesh properly inside GDK. Ive noticed that sometimes, depending on options, the mesh can look fine, till half way through its animation, then the skin gets all screwed up and the model collapses on itself(looks quite funny actually)... the best advice I can give to you, is to experiment with all of the export setting on the Panda Exporter(there are alot of em) and see what gets you closest to what you want - and when loading it in GDK, expect it to be a little different than it was inside max(speed, amount of keyframes, sometimes even the rotation/pos of the model will be affected etc)
If it ain't broke.... DONT FIX IT !!!