It looks like the cross part is made out of n-gons, not quads, due to using booleans to get that circular cut out. I'm assuming that's why you're getting triangles when importing into zbrush, because thats how it sorts out ngons. You can go in and manually divide up the faces into quads in Max by using the connect tool.
I edited too late so I'll just say it again so that it wont be missed: You might want to try a more evenly spaced structure like this along with a bevel for it to hold its shape, and then once you're done with the sculpting you can just remove the excess loops. Zbrush might also be reporting some triangles as other…
Booleans will always give you some messy results of tris and n-gons. I find it helps to see the verts displayed as you'll be able to tell if a face is a quad or not just by how many vertices and edges define it. Chances are Max should have a tool that will report how many tris/quads/ngons the model has in total, along with…