It's an annoyance. What happens is that some of the textures gain a self illumination in the conversion process. It doesn't prevent the ship from working in game at all. However, in game or even in mod viewer, you might be wondering why parts of the ship are glowing bright when they're not supposed to be.
The fix is easy. In the Material Editor, select each texture entry, and if it's got a self illumination numerical value, just set it to 0. Then, re-export the ship to MOD format. This works only in MAX and I believe in GMAX.