Yes, a lot:
Invisible collision walls in wrong places, lighting bugs, no vertex color ability meaning the object look flat and bland, slow creation time (it's possible to create maps much faster and export them in-game faster using 3dsmax).
There are plenty of good tutorials for modeling objects in 3dsmax,
go to here to learn how to make terrain and curved surfaces (grass/cliffs/mountains/etc.)
Go here for a tutorial on making a road. 3dsmax's built-in user reference has great tutorials.
GTA Modification Forums
i just got 3Ds max, i'll give a try 
