I keep reading how often people have problems when displaying alpha transparency on Max's viewport. As far as I know it is dependant on the order you create the objects, right? If that's the case couldn't there be a script that would recreate your scene objects on a specific order?
Now, I'm not sure in what order you'd need to create the objects, but as far as I remember you need to create those that are far first, then the ones closest to the camera. I'm not a maxscript expert but if you could measure an objects distance to, say, a camera, then - from the farthest to the closest - clone the objects and delete the originals or something to that effect, that could get rid of the issue, right?
Anyway, not even sure it's possible, just throwing it out there.
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Download here:
http://www.juantwo.com/scripts/Martinez_Macro_ReOrderObjects.zip
Unzip the file and place it in this folder:
C:\Program Files\Autodesk\3ds Max 2009\ui\macroscripts
Restart 3D Max
Look in the monsterBlues category to bind to a hot key or toolbar.
It's called ReOrder Objects.