Welcome to the site, I also purchased a max II recently, but I have a few years experience with aatv's. The first thing that I did to mine was tear apart the transmission, but mine was an older machine. Since the tranny's are the most costly thing to repair, I just wanted to make sure everything was in good condition, and change the fluid too. If you do anything with the trans, there is a good article on this site about disassembly and reassembly of them.
The engine smoke may just be because the weather is cold out.
As far as the turning goes, check that the chain is on the rear sprocket, and check that the bolt holding the sprocket to the axle is not missing or sheared off.
The lack of climbing power could be a drive belt adjustment, or time for a transmission linkage adjustment.
Another general thing to check is condition of the axle bearings, with the wheels off the ground, check them for up and down movement, if a bearing is bad, you with feel a clunk with a slight movement. Also be sure to keep the axle bearings greased.
I don't want to go fast, I just want to go anywhere.