Humm strange.
Here is an overview of how it should work.
http://arlab.com/doc/arlab/product/3d_engine/exporters/3ds_max/4.advanced/baking_animations
The key paragraph stats.
“We need to go to the “Animation” Tab, Open the “Bake Animation” menu, activate it, and select the start and end frames to select the frame range we want to bake, in this case, 0 to 100 is right. When you bake an animation, usually a keyframe by each frame is generated. If you want to decrease this to save memory and you trust your animation will look fine this way, you can change the value in the “Step” field to more than 1. Once you’re done with this, press OK. “
The key word is “should” so I don’t know why it didn’t as to get it to work you will need to generate a per frame key.
Since FBX is a Autodesk product you can follow up here.
http://forums.autodesk.com/t5/fbx-plug-ins-import-export/bd-p/area-b65
Sure I can check out your source file but I use 3ds Max 2013 but for animation I use MotionBuilder so if you can supply at least the FBX I can take a look see. Would be an interesting “see if I can force it to work” project. 
But
The proof is in the demo
[video]https://youtu.be/0TnMXh2uqE8[/video]
So it can be done based on the theory so as an example I just animated the box using step keys and plotted it’s properties to the time line so if you can plot in what ever app your using per frame then it has to work.
Overall though it’s a bug on Epics part as UE4’s FBX importer should respect key types on import so you might want to post to the feed back forums.