You can use doesFileExist() to check whether a certain file exists already.
But you cannot really check whether a file is incomplete, which might happen when the renderer crashes.
So I would go with some kind of array or list that contains the names of all the objects that you want to be baked. After baking an object successfully you let maxscript remove its name from the list.
This way you could also directly control which objects should be baked.
Apart from that, here's a very good maxscript-forum:
The Area | MaxScript