I'm having same issue here. There are a lot of option you can change in order to have them exported from SW in .smg, but I havn't found how to export with options to show the tree. As you can see they put this option int he regiostry but there is no interface on 'Save As: .smg' from SOLIDWORKS. I guess that they were planning to do this in future version.
IOImportAsBodies = dword:0
You can change the 'DWORD' values to 0 (unchecked) or 1 (checked).
CREATE BACKUP OF REGISTRY BEFORE CHANGE ANYTHING!
If anyone have any idea how to enable assembly tree in export process from SOLIDWORKS in .smg please share.