Hi there,
I don't have either Maya or 3DXchange pipeline and have a huge amount to learn about iclone but I viewed the video to see if I could follow the process. (In other words I'm only trying to help based on what I saw in the video).
The steps seem to be:
1 create the movements of your character in iclone.
2 add 'path' and 'look-at' constraints to the animation (actually your character might not use these constraints depending on your animation).
3 you can select your character and preview your animation in iclone before selecting the 'edit in 3DXchange' button - to launch 3DXchange. (The iclone scene in the video is full of props and scenery as well as the main character but it is only the character that will be edited in 3DXchange before being exported to Maya).
4 Within 3DXchange, select the area of your timeline containing the animation you want to export. The video says: 'combine it together as a motionplus file in 3DXchange' I think this means that the path and look-at constraints will be built in to the character's animation. (You would need to know what a motionplus file is - unfortunately I don't). As said before, I don't have pipeline to know how exporting animation works and I don't know much about the timeline.
5 Add the animation to the character's perform list (this is done within 3DXchange as shown in the video)
6 Export as an FBX file using the settings for Maya shown in the video.
I know nothing about Maya but the video shows the character being imported and the settings required. All of the scenery in the original iclone project has been placed there separately. The character will not only have the motions it had in iclone, it will also walk along any path it was following - but this time it is walking through the Maya scenery.
That's the best I can do - but it may lead someone else to explain it properly.
Mister Grimhilda