I have to agree that it's best to only try to import small objects into Alice. Can't say for sure that Alice has ever displayed the "wrong" thing - but it sure hasn't displayed what I thought I'd imported a lot of times.
A lot of the problem have to do with file conversion error, which are hard enough to detect with even small files - and nearly impossible to detect with large ones. In particular, Alice doesn't like flat surfaces or surfaces with holes - the program has a lot of trouble deciding what's "inside" and what's "outside" if there is any ambiguity at all.
Use Shadow Sovereign's “import as texture” approach to importing objects (see
http://www.alice.org/community/showthread.php?t=570) - this works both for .ase objects and objects in the Smooth Teddy format (.asg). This will give you a hierarchical structure in Alice which you can then arrange and texture using Alice tools. (You have to do the texturing there anyway - see the tutorials listed in Chuck Herbert‘s post.) This saves you a lot of conversion headaches - plus you can build on the large base of Alice objects that already exists.
Finally, if you are going to make a major effort to import objects - do read the tutorials first. There are a lot of non-obvious details covered there. While they may not apply specifically to your modeling tool - the principals involved will apply.