Keleb78,
I'm having no trouble at all saving MXS files from the plugin in LW9.
Here's some tips on how I've been getting it to work:
First, I make sure any object that's going to have textures applied has a texture in the color channel. The Maxwell plugin seems to use that channel for getting UV information.
From there, I just add the Maxwell shader, open its panel and choose 'Create MXM from surface'. It asks me for a file name and location (this is where it's going to put the MXM file -- I like to put them in the directory with the objects). Once saved, I edit the MXM from the plugin and set it up the way I want it in Maxwell.
And that's all it takes for me.