Stepped animation from 3DS Max(fbx)

I'm trying to use a stepped animation that I did from 3DS Max, but in unity I can see a "ghost" cylinder in between frames.
Basically, my animation is 2 cylinders, one that is animated in x and y(3ds max) axis, than on frame 40, I change it to another cylinder making it going up, than, on 41, I make that first one go down. In this transition, I can see the cylinder going up.
Does anyone know how to make this kind of "transition" from one frame?

 

Maybe a picture of Max with your set keys would help.
And a picture of the result in Unity.