I've never tried to import single object with multiple textures into 3Ds Max, but when I tried it I have that same problem like you, missing materials. The problem is that your building is one object that uses more textures (Multimaterial). So this multi-material we need to import from external file through ZModeler.
Follow these steps and you resolve your problem.
1.) First you have to find required models and textures. (models/GTA3.IMG - in your case: texture vegascourtbld.txd for object courthse_vgn.dff)
2.) Export textures via TXD Workshop into any format you prefer (Place these textures together with .dff file)
3.) Import .dff file in ZModeler (do not forget to select prefered textures).
4.) If you can see textured imported model, you done everything right. (Don't worry if model is black we don't need model, check only if textures are imported).
5.) Export object from ZModeler into .OBJ format and place it together with .dff file and textures).
6.) Import .obj format into 3Ds Max and check "Import Materials".
7.) Check your Material Editor and you should see material called : courthse_vgn_mso, if you do, you did everything correctly. (Don't worry if the model in viewport is black).
8.) Delete this object from viewport and import .dff model into 3Ds Max as you tried.
9.) Open Material Editor and drag & drop Multi-Material on your model.
10.) You should see textured model in the viewport, like this:
Hope this help you a bit. If you have any other questions feel free to ask.