Frequently, when you've get spline from the object's edges, it doesn't extrude properly - not across the spline but along it or in some different, not expected direction. I don't know what exactly causes this strange behavior, broken normals of spline vertices (if 3dsmax have them at all, I'm not sure) or rotated segments of the spline. I don't know. I repaired such splines by creating new splines other them or by giving them extrude with large amount and then editing such odd figure by the Edit Mesh modifier.

But solution is quite simple: Create new spline (I often choose Rectangle) in viewport which is perpendicular to extrude direction, or if spline is not aligned with viewports, align new spline with direction of extrusion. Then add Edit Spline modifier to this new spline, attach broken spline to new one, and delete new spline's spline sub-object in Edit Spline modifier. Now your broken spline extrudes perfectly since it inherited extrude direction of newly created spline. I know, there're too much "splines" in this article :)