Hi,
When sharing a 3ds Max you can use "Resource collector" feature as this will collect all necessary files into a single archive, making it easier to transfer all required asset at once, ensuring there are no files missing in the process.
Once the asset is imported from Cosmos into 3ds Max, it becomes a part of 3ds Max environment you should treat it as any other assets you would normally import in 3ds max, so when sharing your files, make sure to share its maps and related files too.
For your case, using resource collector would be a simple solution.