Zap is a legend. I'm enrolled in that course at the moment. If you have the time you should do it. the information there so far isnt really mentalray specific its all about light and rendering.
For rendering, ie vray, mentalray, etc. what you want is a fast CPU. The GPU is for realtime performance (ie. the viewport in Max / Maya / Unreal Engine /etc.), or for special GPU-based renderers.
Yeah try setting the filter type on the place 2d texture to mipmap or off. If the problem persists do you have access to mentalray I'd like to know if the problem appears in that renderer as well.
I tried mentalray as well, it's no different basically, I had it default tho, maybe some magic setup on mental ray would make this thing work, but again, I don't know how.
http://www.e-onsoftware.com/products/vue/vue_8.5_infinite/ this program's pretty awesome for making skies/terrain. It also integrates into max so you can use mentalray + lens shader to render a 360 view.