FBX and GLB are working fine for import, with the exception of rigged characters models (the issue here is with animation and not materials/textures). That may get fixed soon-ish, though.
As far as textures, the model needs to "know" the textures are part of the model (i.e. they are "referenced" in the FBX or GLB file) for them to automatically come into MAX when importing. If it's not, then you need to manually attach the textures (albedo, normal, surface, and emissive). The Surface texture is a single texture made up of three - roughness, metallic, and AO (ambient occlusion), each on a different graphic channel. You can create your own surface map in a paint program like Photoshop, GIMP, etc., or you can use one of the awesome tools by GraPhix to automate the process.
If your model uses several materials, then when you import, you'll have to open the material tab, go to each material, and individually import each texture.
But FBX and GLB import work ... and work well when a model is set up properly. I use it daily in MAX.
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