When you clicked on the "Select" button did you have the "Group" button selected and the "Ignore backfaces" switched Off and then use a click and drag select? I found that if you didn't do that it was easy to miss bits. Or if you went into the Groups tab and clicked on each group one at a time then clicked on "Select", I found it worked OK.
My animation didn't work correctly first time either so I just opened the project up again and put in 4 keyframes with the prop rotated 90 degress each time, then exported the animation (with a new name just in case) and chose that name as the default in MW. That fixed it. I'm guessing that you have to have more than just two keyframes so the software knows in which direction you want to rotate. Also I wonder if the two end frames should actually be exactly 360 degrees different? Maybe the last one should be slighty short of the full circle, otherwise two frames will have the prop in the same position.