If there's a polygon in between the verts you're trying to weld it won't let you. If this is the case, delete the polygon/s that's in between them and then try welding the verts again.
Max is funky with it's vert welding. I often find that things I think SHOULD weld, just don't. Try collapsing them together. Often that will take care of things that weld won't. You may have to collapse multiple times, as it will collapse verts on each contiguous mesh first, then across the gap. If you'd used the cut tool…