Okay, milkshape is a good modelling program but is annoying and hell and is also very stupid. Who would want to weld two boxes with faces in the middle? Only milkshape would allow that. in max, this wouldn't be the case because it identifies there is a face between the vertices
its like in real life, if you wanted to weld a box together, you wouldnt have the face in the middle thats between the verts you want to weld. Instead you would get rid of that face and then select the two verts and right click, collapse.