Hi ,
You can export an animation with the rig intact, however, all controls will be lost (as you would expect).
Just open up the Animation Sequence from your Content Browser, and click Export in the new window. Select the export destination and press “Yes” to the next prompt that asks you “Would you like to export the current skeletal mesh with the animation(s)?”.
Export From UE4
Open in Max/Maya
Now that this is done, you can import the new FBX in Max/Maya and start playing around! 
