Possible solutions are to set the export scale in Zbrush to about 10-20x larger or you can set the import scale in 3dsmax to about 10x and the export size to 0.1x. But all these solutions are not that great either. The Styx Import/Export plugin has exactly the same problem if you want both applications to work at their optimal units size. Scale master can set the scale for export, but not Import.
My question is, what is the best way to let both Zbrush and 3dsmax work at their optimal scales? Maybe you can change the unit scale in 3dsmax to meters instead of centimeters? But that would result in about a scaling of 100x instead of 10-20x