SAT format is good for solid models.
SAT imported as "body object", is true solid model.
Apply edit mesh modifer, not edit poly. And do not convert to edit poly, it is kill all normals.
To get non-triangulated faces, you can use "Moi3d" for reexport.
Sorry but there's so much wrong information here it needs to be corrected.
Use STEP or IGES for Rhino.
If you're on Max 2014+, you can import both formats natively, they will come in as Body Objects. With Body Objects it's possible to change tesselation at any time since the original NURBS data is kept and tesselated only for viewport display or rendering (even renderers that render NURBS directly will tesselate them).
With Max 2017+ you can also import NURBS data with the ATF importer (Autodesk's own NURBS kernel) which will work better for some cases - however some drawbacks are that you won't be able to change tesselation afterwards and the resolution slider is the only parameter, so you have less control over how the data gets tesselated.
To use ATF, use 'convert to geometry' set to ON from the dropdown in the importer dialog. To use Body Objects, use OFF.
The limitation where normals were discarded upon converting to Editable Poly has been lifted a long time ago, there were many undocumented changes in the last few years and converting to E-mesh and E-Poly will retain surface normals now.
Chamfering or any other manipulation of NURBS in Max is not possible, Body Objects are very limited in what you can do with them, even Undo doesn't work reliably. If you change something, make sure to save first ;)
One note if you're using Corona for rendering. If Corona uses the shadow terminator fix (which is does by default) surface normals from NURBS will render with artifacts. To get rid of these, your only option is to disable the shadow terminator fix.
My personal adivce - there's no benefit in modeling the walls in Rhino, it'll probably cause you more headaches than needed if you aren't used to NURBS meshes in Max, they have their own quirks and you need to know how to solve them.
Unless there's something specific you need that you haven't mentioned.