Hi Frezer,
I’ve just tested this with 3Ds Max 2013 and everything is working as intended.
I setup my mesh LOD using the Level of Detail utility in Max. When I exported I used the same settings as you, The one exception you may not have enabled is to make sure that Animation is checked for export with your FBX. If not this will not export the LOD correctly.
I used the same import settings as well.
Double check that you have Animation checked when exporting.
An alternative way to import LODs is to import your base FBX then open in your mesh viewer. In the details panel to the right import the next level LODs FBX.
Let me know if this helps! 
Tim