Is it possible to use 3Dsmax (or another program) as a scenegraph editor in order to build the entire environnement?
(alternative to MonkeyWorld 3D)
Does 3DS max import to Jme keep textures onto the nodes?
The simple answer is no.
If you want to make a scenegraph and export it, MonkeyWorld3d does that. There's also a pretty good program in this section called Scene worker, I haven't tried it myself though.
The 3DS importer does keep the textures, but it does not keep the scene graph node structure AFAIK.
If you want full scene importing you need to use a format more targeted for scenes, like dotScene. You can find a dotScene and mesh.xml importer for jME here including instructions on how to export from 3dsmax.
Thank you for your answers