Unreal Engine can import materials and textures to apply to the mesh while exporting from 3D application. From Autodesk 3ds Max, only the basic materials are supported. They are Standard and Multi/Sub-Object. In those basic materials, only specific features are supported. This means FBX will not export all settings but it supports certain maps or textures used in that material type.
In the following example, you can see a model with multiple materials assigned.
Note that it is very important to have unique names for each sub material in the Multi/Sub-Object material. Each sub material has a unique name as shown in the following screenshot: