Yes,you can edit how you want the exported subsets,but you need to be certain that you have delete/add the same faces/vertices
Me,in 3dsmax ,i import first the _AO.OBJ and after the .OBJ in the same scene (better the AO first to see the diffuse textures and not the AO
)
For add a subset ,it's easy : import 2x the same object and rename one with at the end _AO
after you can load a separate UVW for the _AO
Edit:If you want rename(after)/delete a subset : go on "Tools" menu -> open explorer:container explorer
Re edit: i have forgot to say you ,when you import in .GR2 choose the "loose" mod (first question="No")