To my knowledge on .x format works correctly, though I believe 3D characters are somewhat broken in Visionaire Studio 4.2.5. I don't know if the feature has been fixed for the upcoming Visonaire Studio 5.0 public release. I've not asked Simon about it as it's not a feature I use or probably ever will use.
The best person to talk to about 3D characters & how to import them would be the member who's guide we posted on the wiki as he's the only one that has been using 3D character models as far as I'm aware.
3D character support was only added a few versions or so back, so it's a bit raw. Maybe it will get expanded on in the future. If it's absolutely vital you use 3D character models, then I'm sure you'll figure out what works best for you in regards to creating them, exporting them & importing them into Visionaire Studio. If not, then exporting them as still frames is perfectly valid. The only real benefit from my perspective to using 3D characters is being able to adjust the camera angle / perspective view in which we see the characters which is great if you plan on using scenes drawn from different angles.
Personally I recommend exporting your models as 2D sprites - will probably save you a headache in the long run.
Quick note: I believe most of Daedalic recent games over past few years were 3D characters that were exported, painted over with zBrush thing then imported into VS as still frame animations or imported into Spine
for sprite part animation, which is something VS supports - at least in VS 5.x.