Thankx a lot to both of you. Importing in Illustrator 3 might work. Even somebody said that version 8 would work too. I never tried that. I would. Jelmer, your suggestion is also a valuable one. And I already have such a plug in for photoshop. But, unfortunately this client of mine wants me to use a hi-res model only to generate the normal map from within max. And it is mandatory.
This is the reason why all the problems have arised. I have got one more suggestion too. It says that if you copy and paste the illustrator path into photoshop (as a path) and again export it into illustrator, then even it works! However this one is a pretty long process. But it looks like that the problem is mainly due to the illustrator version and nothing else. The_Head, I would surely try your method too.