gmax is a stripped-down version of 3dsmax which was created for creating game mods, but it is very closely tied to certain game developers, and only exporting to these game formats work. gmax doesn't save any other kind of files other than .gmax and specific game formats, so that it can't be used for other games.
The only way to create a GMF file for RA2 (yes, there are other file types that use this extension) is either using 3dsmax or notepad to edit the ASCII file.
The only ways of exporting from 3dsmax are:
-The official Gabriel Entertainment .dlu plugin (which is a plugin, which gmax doesn't support for obvious reasons, and furthermore the .dlu is ONLY compatible with 3dsmax v. 4.x and 5.x, since later version of the software have the plugin format changed a bit)
-An unofficial maxscript (3dsmax script, which gmax doesn't support either), either dummee's original that supports 3dsmax 4.x and 5.x, or my modification which supports all versions of 3dsmax (again, NOT gmax) + a gmf compiler (dummee's or mine) to change it into a format usable by RA2.
Please lock and make this an announcement.