This may be disappointing for you, but the last time I checked the Blender MD2 exporter, it had a bug in it also. It may have been fixed by now because that was a while back, though.
It's a little hard getting set up the first time with 3ds frames, but once you do, it's just a repeat using the same functions, and it's a little more modifiable than md2. It's easy to add more animations, etc, without redoing anything. You just load the extra frames and name a new animation. Actually, it really just works off the index order that they are loaded. It's not completely set up for you like some engines, but that means you can set up things like ping pong animations, speed, etc, through programming. I use an extended object3d class for each of my characters that contains animations and other things.
On the skeleton, I think there may be something you are not doing, or it's possible it's a bug, but from what raft said, there wasn't information there and that would mean it wouldn't work on other engines, but it appears that people are using it for other engines from some internet searches I've done, so it might pay to do more research. I haven't found anyplace where someone said the exporter just doesn't work. Possibly try the Ogre forum, or try someones Blender exported model that works in ogre and see if it works with this importer. Are you using 2.49b or the one in beta?