>After having changed a field from a Text type to a NVarChar(Max) type, the size of the MDF has increased by three times. I am not sure if this is normal or if I should do a compress. Basically, 99% of the MDF is in regards to that field. So, does this make sense?

The size of MDF should increase because Unicode NVarChar(Max) type takes twice as much space as Text. It'll affect indexes on such columns as well. The threefold increase seems excessive to me. Run 'sp_spaceused' to see how much of unused space is in DB.