I've used MS3D before, although I do not have much experience with extruding in it, from what I know, what you did is not possible in MS3D, unless you used a octagon. If you did use an octagon, then you must have scaled the extrusion small enough so that the vertexes combine. This creates more useless polies, so you're better off beveling. Even if you did somehow extrude that with a box, it will still create more polies. Extrusions that look like beveling usually have more polies unless it's one side.
Also, I'm 90% sure it isn't a Milkshape thing.