never fear, Will is here
This is more of a MAX than a Xith3D question, but I'll answer it anyway.
Your sub-groups don't dissappear but they do become part of the master group. By default then, when you click on it - you only see the master group. However, if you export to a .ASE file, and open it in your text editor - you will notice that the group names and structures are kept. In max, you can work with subgroups as well. I forget which option it is but you click "Group->Open". This "opens" the parent group so you can move it's children - but maintains the relationship. Once done, you can "close" the group again. You can also open up sub-sub-groups etc...
In Max - you can animate these sub groups (e.g. a hand moving) and animate the master group as well (e.g. human moving). By using the TGT's - you can do this in Xith3D now too.
It appears that the .max file _is_ missing from the tutorial files - thanks for telling me! I'll try and fix that ASAP.
I strongly suggest getting a book on 3d max if you don't have one - there's a good beginner one in the "Quickstart" series
for $20 bucks or so.