Rector, I have been testing the importer a little over the last week and although fbx can load fine, sometimes they can have issues. GLTF are preferable as far as I can see. FBX are still a little hit and miss. I tried some pre-made fbx models for Unity and they didn't import properly for example. Also if you have models that have embedded textures they do not pick up either. I've reported the issues I have found so they may be fixed or added, but don't splash out on lot's of expensive models only to find Max won't import them properly.
Oh and at the moment at least, imported models will not even remotely work with the AI provided. I've only seen CC stuff working in that area. You certainly won't get a lua script for max off other engine stores apart from it's own.
SPECS: Ryzen 1700 CPU. Nvidia 970GTX. 16 Gig Memory. Win 10.