@yjh45: It's now possible to force animations export to separate files for UE3 games and below in the updated build. Though I would highly advise not to do it, because exporting animations to single file as animset is how it was originally designed and also because ActorX importer works more conveniently with animsets in single file, since it can import only one file at once (regardless of number of included animations).
Can I display all animations by installing this ActorX importer in 3Dmax and then importing the skeleton?