You don't need to, 3Ds max uses Bumpmaps, normal maps are a sort of 'cheap' version that are faster, but don't self-shadow. I forgot that 'displacement' maps in 3DS max divide the object up into thousands of polygons and offsets their position according to brightness, which is slightly different to a bumpmap. That was why your first model looked so odd, it was converting the normal map to greyscale and then displacing the polygons according to the result.
I don't know if 3DSMax has a way of rendering bumps from normal maps, alas, since I don't use it, but I'm sure someone will tell you if there is

Basically, if the Bump-map works, then so should the normal map.