Hi again.
@DrCrosby
Thanks by the help and fast answering , but I assign material to the asset. Anything go worse with my project or maybe I touched something that broke the scene. I try in another project and can import and clone with no problem. 
@Tim Hobson
I’m using 3dsmax 2014 and exporting with 2013 fbx option, the build of engine I use is 4.1.1 and how I said before I tried to import the same assets in another project (in a blank project, in Stylized demo, etc…) and I have no problem importing FBX. Have to say that when Im working with this scene Ue4 Crashes often times (My computer isn’t a great machine) and probably one of the crashes corrupted or something the scene
Another thing that I try is drag the same asset from the content browser again and again in the scene and with this way I can have any clones of my asset, this is a clumsy solution but it works for advance the project.
https://mega.co.nz/#!IBAlQayb!pThC-5uVY5DoFxvuh8Gs94Bi53xgd30gf82GNxcUBzI
This is one of the assets that I can’t clone (well, I can’t duplicate any asset that I import). A simple “U” Piece without materials but that works and can be cloned in other projects.
On the other hand I upload all the project folder too if some kind soul can download it (1.31 Gb ) to help me to find the origin of my problem (Probably some dumb think that I did in whatever moment)
https://mega.co.nz/#!BJ5WXTwI!xCk8OEGgivGby4V0XBnXyo7-S9NVXiIhzGR6pg2cSvg
Thanks a lot and for my part, I still searching and testing with my low knowledge of this Great Engine 
If a I have some news, I post it here