Make sure the number of vertices in the morph mesh matches the number of vertices in the base mesh. Also the materials need to have "[number]" at the end of their names in Max. This is explained at the beginning of the of the exporting section in part 4:
http://download.gna.org/cal3d/docume.../tutorial.html
I'll put together a small knowledge base article in the next few days with some guidelines for setting up and exporting the morph targets.