I haven't used mudbox/zbrush but I assume they use normal/displacement maps for additional detail. These maps don't add geometry, they add shading variations (or, in displacement's case, they tessellate the mesh and add geo at render-time). So unless you're in high quality or viewport 2.0 mode you won't see the effects. I don't know if that's your issue.
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Peter Srinivasan
Producer