Max 2010 & mental ray seem to have problems reading complex opacity bitmaps (i.e. hair/fur) accurately. The Max scene in question has the fur object in the foreground (i.e. mesh with complex opacity maps), a wall behind, and the environment outside...
After having tried every possible avenue (i.e. assigning the matte/shadow/reflection (mi) shader to wall, make the wall not to cast shadows etc...) nothing seemed to have worked; apart from assigning the "environment/background switcher(mi") parameters shader to the wall(i.e. not visible to the camera)...