I'm making some tests using the same configuration, but i cannot reproduce the problem here.
Please, try adding the path where are located the proxies to Customize->Configure User Paths->External files in one of the slave nodes, and tell me the result. If you can't load Max on the slave nodes, edit the file '3dsmax.ini' and add the path to the [BitmapDirs] section. The file is stored here:
Windows XP: C:\Documents and Settings\<user name>\Local Settings\Application Data\Autodesk\3dsMax\2011 - 64bit\enu
Windows 7 and Vista: C:\Users\<user name>\AppData\Local\Autodesk\3dsmax\2011 - 64bit\enu