after I finish I will make version with fewer polygons, for gaming. And I'm using Blender to do basemesh, along with Zbrush and photoshop to make the material
you don't need to box in the holes like that - it creates a lot of small polygons which won't draw as fast. Something like this is better in my experience:
Why would you want to remove primitives from Max? They tend to be the base for almost all polygonal models for games. Am I not understanding the question?
you've got a lot of polygons in the chest part with the engravings that might be better spent on parts that deform a lot, like the cloak and robe. otherwise nice lowpoly
Is there any reason to have it not be one mesh? If not, you should go ahead and make it one. You'll have a few less polygons and solve the lighting problems.