try making your polys be 4 sided
I think your problem could be that your polys are not 4 sided. From experience with other programs when exporting to other formats, such as obj, having more than 4 sided polys can create holes.
What do I mean by four sided polys you ask? Well, its when an object such as your example, are broken into multiple polygons, and each polygon are seperated by a group of 4 edges and 4 vertices. For example, if you where to make a 5 pointed star, you whouldn't just create the outer edges of the star. You would also have to break up the star into multple polys. You do this by after creating the outer edges, you then use the split polygon tool. A wonderful new tool added to Maya 6.0. Another words if you go into face mode, and click on one of the faces, the total vertices and egdes to that selected face should be no more than 4 edges and 4 vertices.