Yeah, I have had problems loading .3DS files myself, I had some that were modelled and exported from MAX2009, they wouldnt load at all and just crashed the program, on the other hand, ive had other models made in old versions of max and converted to .3DS with "file converters" and they worked fine(sometimes, moral is for me, its been unstable), I can only assume that there are various "implementations" of the .3DS format itself, much as the directX format has expanded and grown over the years from its first form...
My suggestion to solve you problem would be to do some trial and error tests with loading different formats of models and timing your code perhaps to see which format will be best for you..
Start with the natively supported DirectX format .X file, GDK uses directX, and so its support for that format is very good, then when you become familiar with how 3D files are constructed and rendered etc, perhaps you could work on building your own "importer" code.
I know a number of 3D app's have SDK's that are related to reading and working with their native file formats( MAX with .FBX, XSI with dotXSI Crosswalk etc etc ), these SDK's can make it very easy to utilize a 3D app's native file format in your programs without converting it to another format and having to worry about loss of detail in the file, such as complex shader/material relationships. The advantage of this is that you get into your program, exactly what is designed in the 3D app, as long as you know how to read the file, using the SDK...
Of course, actually writing and implementing your own 3d file import code, would firstly, be very complex in itself, even with a specially designed SDK API, working it into the GDK would be a task unto itself, and secondly, I dont think that its something that should be attempted unless you have very good knowledge of programming in the C++ language natively and with the GDK, aswell as working with 3D files at the coding level( Its something that I am looking at doing, although I know I have a whole lot of learning to do before I attempt it...)
EDIT : There is a great tutorial in GDK C++ written by Mike Johnson showing exactly how to load and create custom media, you can find the thread stickied at the top of the DarkGDK forum.
If it ain't broke.... DONT FIX IT !!!