3DS Max does not support OBJ files with vertex colors (which is how our colors are exported from MPVR) so you will need to convert the file before 3DS Max will show the colors.
First you will need to open your OBJ in an application that supports vertex colors on OBJ files. 3D Builder and MeshLab are easy to use and can get this job done quickly. Open your OBJ in either of these then export as a PLY or DAE. You will then be able to import these files into 3DS Max.
Hope this helps!