It's probably because you didn't enable another export option... There should be one there labelled 'SA Body Part' or something like that (it's been awhile since I've seen Kam's export dialog). This should get it working.
If it still isn't showing right, then double-check that you've got the texture(s) set right in 3ds Max and that (it is/they are) available to the game. Make sure the attributes like primary color & remap body are set properly too. Also, check the UV mapping on the part to see if you've changed something.