Hi @Yoshi090,
The model in your link has a High Poly and Nanite can easily copy with that.
The problem is that it has 3,020,063 Vertices and UE5 is capped at 2 million vertices.
Even though it may read using one of the Unreal DataSmith 3ds Max importers. The UE5 uses a generic DataSmith importer which like all UE5 is in beta Early Access.
Also included a non-illuminated 3ds Max version with standard materials (if you do not use Vray).
Which Vray cannot use in UE4 or UE5
See the Using Datasmith with 3ds Max | Unreal Engine Documentation
First you have to export the item to FBX Export | 3ds Max 2021 | Autodesk Knowledge Network
Then you might have the same problem as described here
Fbx import has less polygons? - Development Discussion / Content Creation - Unreal Engine Forums