Alright, I created a new object for the collision mesh and did this:
1. Create a box
2. Create a plane
3. Select faces of box and apply shade smooth
4. Select faces of plane and apply shade smooth
5. Export the model

However the mesh is still a single convex mesh when tested in HLMV or in game. I have enabled $concave in qc.

If you (or someone) had an example .smd for a physics mesh with multiple concave sections, I could compare that to mine and see what I'm doing wrong.

EDIT: I thought a bit more about how does Source detect different collision meshes. I assume it is from faces that have edges with matching normals (as that's what AFAIK shade smooth would do)? In that case I might need to use something better than a plane.
EDIT2: Yup, seems to work a lot better! Thanks for help.

Hello. I couldn't find much up-to-date information with regards to exporting a concave collision mesh. I found that I need to apply Shade Smooth modifier to the collision mesh, but what if I want to have a concave collision mesh consisting of multiple smoothing groups? Should I select the faces for each smoothing group manually and apply the modifier one by one?