No, you' should not need to animate the children.
Simply export as B3D. This should work. Make sure to set a keyframe for every bone on the very first frame of the animation in CFX.
Then load it in a simple failsafe test:
cam=createcamera()
translateentity cam,0,0,-20
m=loadanimmesh("x.b3d")
animate m
while keydown(1)=0
updateworld()
renderworld()
flip
wend
note: updateworld is required.
Also try to download the latest B3D export plugin and/or CFX Version.
If you're new to CFX, then think about to switch to PaceMaker, it has some highly pro features.