I struggled with this myself. You actually want to uncheck "turbosmooth" in the FBX export dialog in 3ds max. This makes the exporter convert the turbosmooth modifier on all objects to higher-polygon count model that will work in unity. If you leave "turbosmooth" checked, it assumes the tool you want to import the FBX into supports turbosmooth, which Unity 4 does not.
Edit: Correction to my original post above.
For Skin model, if you have stack Turbosmooth->Skin->Editable Poly, the above won't work.
I had to remove turbosmooth modifier from top of stack, and add it back before the Skin modifier:
Skin->Turbosmooth->Editable poly
This didn't seem to affect my skinning as it was all enveloped based. I don't know what would happened if your skin had vertex overrides.
For Skin-wrapped model, it seems to work ok if stack is
turbosmooth->skin wrap->editable poly
But skin wrapped models show up as Mesh Renderers in unity which don't animate to bones.