So I primarily use Blender and 3DS Max. I like modeling in Blender and doing everything else in Max, including rigging and animating... so my question is should I create my cloth physics exclusively in the software I plan on animating in? I ask this because I would hate to spend all this time achieving the perfect results…
Try export as Alembic. Its a widely use industry standard for animation caching. https://docs.blender.org/manual/en/latest/files/import_export/alembic.html