Technically game engines split verts to create/represent smoothing anyway so the way it's done, '
groups' a-la 3DS Max, or '
edge splits' a-la Blender (and just about everyone else) makes no odds to the GPU - verts
have to be split for smoothing (unless there's some proprietary tech involved). But yes, you're going to want to always check that (
a) the format being exported to support split verts in some form for smoothing, and (
b) the game engine can properly read the exported meshes (the meshes are properly formatted).
As an example, one of the earlier builds of UDK was reading ASE exported from Blender fine, smoothing was held and models loaded up OK. In the next update, that changed (and is still the case from what I can tell), so the same prep doesn't work - for UDK it's better to use FBX, DAE (Collada) or
MCampagnini's fixed ASE script that's geared more towards that development platform. Of course if you're using Blender Game Engine none of that matter so much because it can read whatever you do to a mesh (within reason of the mesh/material system).