You might be able to import the DAE file into ModelConverterX and export as a 3DS file, then load that into GMAX. If you try going through an MDL file the compilers do indeed break everything into triangles, but MCX may not?
It is true that the FS SDK compiler for 3D models does arbitrarily triangulate faces on objects, most export / import converters built-into Sketchup (and AFAIK, the 'off-the-shelf' 3rd party Assimp .NET library used by Arno's ModelConverterX aka "MCX") also purposely triangulate Faces.
Reportedly this is performed to ensure retention of existing texture mapping information ...'just in case' the author did not use precision in the 3D modeling process while creating the geometry upon which the Faces are formed and texture-mapped.
FYI: I have seen this with import by MCX of a Sketchup 3D model that was subsequently exported to *.3DS format.
This "triangulation of a 3D model which has not (yet) been compiled to a MDL ...whether you need it or not" is a IMHO maddening and un-necessary behavior by converter modules which triangulates perfectly flat Faces that ultimately needs to stay free of triangulated / muti-part coplanar sub-faces until processed by a FS SDK compiler, serves only to complicate the work-flow of developers to export Sketchup and other 3D models to 3rd party rendering applications for purposes of using features that can bake Ambient Occlusion into mapped texture sheets / atlases. .
"One thing to note when baking AO is that any nonplanar faces or other geometrical oddities you have will be accentuated. "
Perhaps if Arno would consider an additional in MCX option to export / import 3D model format for processing via MeshLab, we could use the free MeshLab Ambient Occlusion and Obscurance rendering features via vertex colors, which can then be 'baked' into mapped textures. \
But, when you state "do a texture map", one might also wonder if your goal is to create a 1-piece mapped texture sheet / atlas for a 3D model with a traditional UVW mapping coordinate system for use with a specific a 3D modeling application and./or plugin ?
If that is the case here, you may wish to review available information on the MCX "Draw Call Minimizer" features: