I found the solution!
First, I opened the animation in Unreal 5.6. Then I opened the skeleton file that it was using, which was SK_Mannequin. Then I opened that asset, then I opened the skeleton that is uses. In the skeleton editor I clicked on the gear on the window that lists the bones. I clicked “Show Retargeting Options”. Then I hovered over the bones and saw a tool-tip that is revealed by alt + ctrl. That tool-tip said that the pelvis needs to be set to “Animation Scaled”. So I set the pelvis to “Animation Scaled”, then exported the SK_Mannequin as the character/skeleton (Asset Action/Export) FBX file.
When I import that character to Max and import an animation on it the character is not disproportioned. Success!