Hi,
I can share my experience, which not necessarily could be applied to you or anybody else.
1. generally i provide only two exchange formats - FBX and OBJ. The former is exported with basic material (usually only diffuse, glossiness and bump/normal textures) and the latter is exported without materials whatsoever. I clearly write in model description about material support status and never had any complaints from the buyers so far.
2. first of all, you have to understand that exchange formats has very limited ability to transfer materials. No procedurals, no complex composite or mix shaders are supported. Only plain textures and limited amount map slots. If buyer can't open your native file, then he will have to recreate material on his own. Usually that's very easy in case of PBR material, because one only has to plug provided textures into according slots to faithfully recreate original material. In case of classic (oldschool) materials, the task might be significantly harder, sometimes even impossible. Best thing that you can do as a seller, is to clearly write that in the description.
3. FBX doesn't need external mtl file - it carries all the needed information within itself. You can even embed texture files within FBX, although i wouldn't recommend to do that.
4. i can only tell how it is in 3ds max. If textures are in the same folder as FBX or OBJ, or in its subfolders, then max will hook up textures automatically (OBJ file has to have mtl file for this to work). Otherwise user will have to point program to correct path where textures are located.
Hope that helps to clear things a bit.