Hi MTp - for a long time it's been a problem with Blender that it didn't import vertex normals. But I think I heard that has recently been improved - here's a Blender discussion thread on it:
http://blenderartists.org/forum/showthread.php?299193-Modified-OBJ-Importer-for-Custom-Vertex-Normals

Try using OBJ format and see if that works better than FBX, and if you still don't see smooth shading maybe try installing the updated importer from that Blender forum link above.

- Michael