Although you can make instance and reference objects in 3ds Max the information is not exported by FBX, as far as I know.
Well yes and no. Yes as in “everything” but no as in it’s a great way using an DCC app you are familiar with to quickly proxy in your map as a single chunk to define space and volume as to relative scale.
Rule number one should be to get in as fast as possible your base environment volume to establish the overall scale of the environment using the player model as the relative object.
What makes for a bad idea is with in the context of the idea that goes against best practice. The 1000 windows idea for example it would be a good idea to do the building as a box primitive as part of a single export but exporting the building with a 1000 windows in place is not a good idea.
Using an app like 3ds Max one could layout their entire environment in a few hours to a couple of days taking into consideration what the engine can do as far as optimization goes.
FBX actually supports instancing, but UDK doesn’t do anything with it. If they wanted it to work they could do something like what Unity does–if it has instanced objects then import a single object and then create a prefab with the instances.