CrazyB makes sense, I really don't understand why you would want them to not be aligned locally? Are you trying to switch them to world so they will be easier to rotate? If that is the case switch the spinner to "local".
I'd try to address the "root of evil" here, the engine's bone stuff, is it an opensource engine, or do you know the guys who coded it? Because they definitely should not insist on those world-align stuff. Because when you create bones in max they will always be "locally aligned" which is also much more true to life, sorta.
I guess I didn't look closely enough at your first image, Fex. Those pivots look great. They have to be local, otherwise all your animations are going to be messed up... the bones need to be able to rotate about the alignment of their real-world bones (thumb knuckle must rotate perpendicular to the thumb, etc.). If aligned…