When initializing IGame everything runs fine, but there is still one problem remaining you might want to be aware of: Because I just used the IGame.dll of 3ds Max 7 and there is no support for IGameFX in that dll, I had to use the IDxMaterial interface with help of:

Guess what! That doesn't work anymore (immediate crash in 3dsmax), but since we have access to IGameFX now without crashing when initializing IGame, it is pretty easy now to get IGameFX with:

and for example to get the shader effect filename:

Other than that everything works fine with the new 3ds Max 8 SP1 version and the modeler guys report that few other cool things are fixed. You can check that out here:
http://usa.autodesk.com/adsk/servlet/ps/dl/item?siteID=123112&id=6487160&linkID=5573636