I don't have Max, but the first thing that comes to mind is that Opacity is not applied correctly, which would explain the weird hair, brows, and eyelashes.
Another thing to realize is that each 3D program has its own shader system that often doesn't translate one-to-one. I don't export to other systems usually, but I know a lot of work has gone into getting good results in Unreal or Blender.
There may be other 3DMax users that can assist further.