In the past I have FBX exported out with materials but in 7.3 it is just giving roughness and metallic, any thoughts?

It should export all texture maps, not just Roughness and Metallic.

I tried this and got the same result, so what you need to do is uncheck "Embed Textures". This will save out all texture maps separately.

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Even with embedd textures On the textures are exported. They are included in the FBX though. Unity or UE4 can extract  them though.
Its a bit inconvenient...why store the textures at different locations.

@k.rehimi: you are correct; I assumed that Tony wanted the textures separate for some reason.

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The metallic and roughness are always exported into a separate folder because the FBX file does not support them. Having them in an external folder allows you to then load them in your other software.