There was recent discussion about this. Any animation in the timeline will be ignored, but what you include in the Perform menu should show up in 3DXChange.

To test I performed the following steps:

1. Create a simple animation on the timeline and add it to the Perform menu.
2. Clear all animation as its no longer needed. (Do not use Remove Object Animation as that also removes the Perform for some reason.) 
3. Export to 3DXchange. You should not see the error message and the Perform is listed in the Animation Library:

 

Now I also tried this with leaving the original timeline animation in place and apart from getting the error message, the Perform motion is still imported as well. Since you used Perform its not quite clear why it didn't work.

I did find that it was easy to "lose" the Perform, so I had to make sure it was there before I exported.

To add multiple Performs, you can repeat Steps 1 and 2 for each. The Perform items will appear in 3DXchange.

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