Just a thought,
If it is a complete scene, with all the parts already in their correct places in max and you wont be interacting with it (i.e picking stuff up and moving it around during run time), you could just combine them ALL into a single object and import that into UE4. If all you are doing is a fly through/walk around in UE4 i can’t see any harm in doing that? You’ll have to make some collision meshes, but that shouldn’t take long at all.
I honestly have no idea if UE4 can import M-Ray materials, and if it can, i have no idea how good/bad they will work. Best bet is to give it a try.
I know that V-Ray Materials are fairly easy to translate if that helps.