Z is up because thank god!
Z up IS and SHOULD be the correct axis up for all software, Becuase in any basic math or engineering in real life well before 3d was a thing, XY where always the floor plans and so it leaves Z to be the up vector. So 3ds max as well as UE4 and a few others have this right, unfortunately other major 3d software did not follow this direction like Maya, Softimage and Houdini so we ended up in this **** of a mess for decades and possibly forever.
As a Max user who has had to deal with this everytime I had to export to all other major packages for years. I can, for once, feel happy NOT having to bother with this and can watch others complain about it for a change :).