I find the best way of producing the type of thing you show there using paths created in Illustrator or Photoshop, then import the AI file into max and use Extrude in the modifier list, gives you beautiful and accurate shapes which don't hammer max, as booleans tend to.
Here's a boolean created spline ready in Photoshop for export, I created 2 shapes, a rectangle and a circle, ensure that you have paths only option, rather than filled paths selected.
The rectangle has the subtract modifier selected at the top, whilst the circle has the add to path area option, select both paths and click combine and you should get them showing as a single path when selecting them.
Export as paths to Illustrator...
Open max, import > select the AI file, pick "as single object" and then use the "extrude" modifier from the dropdown and away you go.
You then end up with this, bear in mind I used a 300dpi res when creating the path in
PS so when it imports into max the object is very very small and has to be scaled up.
Jimmy