Impossible to have my material well displayed ...

Maybe you can try it with Maya? Just import the megascans fbx into Maya and then just export it as an fbx again. I tested it out with different FBX-Exports: 2013/15/17 and it worked for me…

Here the default import with MegascansBridge:

and here the version with the Maya export:

I found a post about your problem with Max: