md2 does not support hierarchical animation. As for losing the animation info when exporting a skeletal animated model, that's a pretty odd conclusion because b3d supports skeletal animation. Before exporting there is nothing "md2" about the animation (eg. no morph targets;) obviously, an animated model saved in Milkshape file format can be exported to any file format Milkshape supports.
EDIT: Rereading your questions it sounds a little like you misunderstand how md2 models are created. Yes, exporting to md2 automatically generates the morph target/frames. It doesn't matter which file format you intend to export to (between md2 and b3d anyway,) the animation is created in exactly the same way. Milkshape does not support morphing animation, only skeletal animation, and anyway other tools like 3D Studio Max can also export a Character Studio (ie. skeletal animated) model directly to md2. Once upon a time you had to use the Snapshot tool first to "bake" the animation frames but even then the original animation was done with bones and converted just before export. You will of course lose the bones info during such a conversion and that is why I'm recommending using b3d file format instead.
EDIT: Rereading your questions it sounds a little like you misunderstand how md2 models are created. Yes, exporting to md2 automatically generates the morph target/frames. It doesn't matter which file format you intend to export to (between md2 and b3d anyway,) the animation is created in exactly the same way. Milkshape does not support morphing animation, only skeletal animation, and anyway other tools like 3D Studio Max can also export a Character Studio (ie. skeletal animated) model directly to md2. Once upon a time you had to use the Snapshot tool first to "bake" the animation frames but even then the original animation was done with bones and converted just before export. You will of course lose the bones info during such a conversion and that is why I'm recommending using b3d file format instead.