Don't forget that in Max the smooth option (I'm guessing this started out as a cylinder) will fake the smooth result at render time. As suggested above try using a Mesh Smooth (with multiple iterations) in Max or (you're going to hate me for this!) start with a higher number of sides on the max cylinder - this will mean starting the model from scratch though.

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Toolset: Blender, GIMP, Indigo Render, LuxRender, TopMod, Knotplot, Ivy Gen, Plant Studio.