The box is a BoundingBox, it's what allows your units to be selectable. In the w3d settings you have to check off AABox or OBBox for it to work.
For the units not being animated, that's because they're not rigged. When you are importing a model select Auto Bind:
Then when you export your unit it will retain the rigging that was present from the beginning. You do not select Hierarchical Animated Model because that is only if your model is physically animated in the scene. A good example of these is building build-up animations. Which often times don't use bones, instead they animate the mesh itself. You simply use Hierarchical Model and select the correct skeleton.
As Mathijs posted before, have a look at this rigging tutorial. You will need to learn this because if you edit your models much (or at all) then you will be forced to have to rig it again yourself. The good thing about the w3d importer is that it can preserve the rigging from before so you don't have to do anything if you're simply importing/exporting. But if you edit the model much it will break the rigging and when you try to use it then it will appear seriously messed up. But for your case all you need to do is use the auto-bind and export it.
Note: I say rigging/binding interchangeably, they mean the same thing. But I prefer the term "rigging".
Edited by Kwen, 31 August 2015 - 09:51 PM.
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"Old modders never die, they just fade away" ~ Hostile