Oddly, I just tried the max file from the help documentation and that exported out the cameras correctly. It looked as though they had 2 cameras, a free one and a pointing one. Importing an exported 3ds of this file worked.
So, I went back to my basic max file and added a second target camera, and exported again. This time WME recognised the target camera (Camera2), but still doesn't show Camera1.
Target cameras are probably a better way to go anyway.