As far as I am concerned (I work with Microstation), when exporting an obj. file a .obj and a .mtl file gets exported. Maybe you could try not to import it like (data - import - .obj... and so on.) Try to drag and drop the .obj file together with the .mtl file into 3ds max. In Microstation this works and the texture is shown.
Also make sure thet the .obj file and the .mtl file are at the same place on your computer.
Regards,
Christoph