Figured it out, there is actually nothing wrong with the conversion, just the rendering settings.
What you need to do to make it work is position your camera appropriatly AND adjust the near/far clipping planes to match your object(s).
If you use the -x parameter to convert to a text .x file you can easily check the bounding coordinates of your object. Use the max values to determine the values to use. In my case, a sphere with a radius of 500, i used:
D3DXMatrixLookAtLH( &matView, &D3DXVECTOR3( 0.0f, 0.0f,-500.0f ),
&D3DXVECTOR3( 0.0f, 0.0f, 0.0f ),
&D3DXVECTOR3( 0.0f, 1.0f, 0.0f ) );
To move the camera far enough away from the object to see it, and:
D3DXMatrixPerspectiveFovLH( &matProj, D3DX_PI/4, 1.0f, 1.0f, 1000.0f );
To allow it to render the whole object without clipping the far plane. The last parameter is radius*2, the second to last is the near plane relative to your camera position.
