Hi casper,
Are you using the current release of MtI?
You've probably found a bug with the HDRI export, I don't think that part has been thoroughly tested. I will have a look later and post an update. (there's another bug that needs fixing, so I'll do them both - unless someone else beats me to it).
For now, if you open up the generated XML file and add
into the <rgb> part of the code where the HDRI image is given (around line 35 in your case), it should get you going.
As for .nk data, you need to assign a phong shader to an object in maya, go to hypershade, select the shader, check "nkdata" on the MtI GUI and click "add". This will add a custom nkdata attribute to the shader under "Extra Attributes". there you can select the .nk file to use.
Hope that helps. Sorry for the bugs.