Try increasing the resolution slider next to the Dynamesh button. This might keep you from having to project all, especially if you're planning to subdivide it anyway afterward. But the real question is, if you already have a high poly inside Max, why do you need to Dynamesh it?
So I created a hi poly model in 3ds max, exported as an obj and brought it into zbrush. Following this tutorial: [ame=" http://www.youtube.com/watch?v=U0QvFYf_Q_E"]How to Model a Sword for Games pt. 1 - YouTube[/ame] I then made a copy of the subtool, dynameshed it, increased the polycount on both copies of the subtool,…
You can also use the zproject brush to help clean up those small areas. It can be a little tricky when working on the edge so I tend to lower the brush size. I also project through all the subdivision levels not just the last. If you are dynameshing to equalize the quads and make it easier to sculpt turning up the…
My point is though, you seem to already have a high poly model taken from Max which you can continue to subdivide in ZBrush to add those smaller details. The benefit to keeping your original model is you can skip having to retopologize and go straight to unwrapping/baking texture maps. Using Dynamesh causes you to lose…