Looking for a way to model in 3DS MAX with splines like in blender

I started to work from 3ds Max 3 and still use it for work(clients still want all work in 3ds Max). But I switched to Blender a year ago for modeling and now I try to render all stuff here. 3Ds Max can't do many things not only this. The skin modifier looks like ZSphere in ZBrush to create a base armature for sculpting. As I know, for now, no way to do this like in Blender

if i understand you situation correctly - its very easy and been in max for decades. so you can draw a spline, go to modify tab, and first thing is "render", click n enable in viewport and convert the model to editable poly. though it will not work for branching splines. i mean it will work but you will have separate pieces.
also you could look in to loft in compound objects
or you could extrude along spline:
https://3dideas.wordpress.com/2011/01/04/extrude-along-spline-in-3d-studio-max/

There is now way to do this that simple as in Blender, unless you can make your custom plugin using maxscript, then again, that's not simple.

Blender is ridiculously good so why not just go for Blender?

As far as I can tell Autodesk is planing to suck in last bits of money promoting indie license (8 years to late) and then 3ds max probably just fades away into oblivion.

yes I know about splines, edit poly and loft, but non of these makes the result I want so easily as blender does.
and yep every package has its advantages and I am just beggining to use blender. Although after so many years of using max it is not easy for me to switch.

I used to make a lot of tutorials for 3dsmax. Then I had many requests to do the same models using Blender, so I made both a 3dsmax version and Blender version of the same models. It really depends on the type of modeling you are doing. If you do a lot of polygon-based modeling using splines, then Blender might be a better choice. However, I have found that splines in 3dsmax are very powerful as well, but require different techniques and are intended for different results. Splines in 3dsmax are excellent for bicubic Patch-based modeling (which isn't available directly in Blender by default). I rarely use Splines in Max because the modifiers and Graphite tools tend to accomplish almost every modeling requirement I need there, but I do see a lot of arch-viz tutorials techniques that use Patch topology from splines. The splines in Max are useful for "guiding" edge flow, patch surface modeling and some maxscript stuff, but almost everything you would use splines for in other apps, you'd use the Primitives and/or modifiers in Max to get similar results.

I have a Youtube channel that you may or may not find interesting. It's actually intended to teach techniques for creating 3d printable models (usually complex mathematical solids) using either application. So I have dozens of tutorials which show how to do a particular model in 3dsmax, then another companion video showing how to achieve those same results, or very similar, using the most efficient strategy I know of in Blender as well. Perhaps you'll find something of interest in my videos? Let me know.

https://www.youtube.com/luxxeon3d

One last thing. After having done hundreds of models in both 3dsmax and Blender alike, I can say that both packages can perform modeling tasks in relatively the same efficiency. However, there are some strategies where Blender has a major advantage and yet others where 3dsmax is clearly the winner. Keep in mind, this all depends on what kind of models you're going to need, what type of models you are most familiar with, and ultimately how many plugins and Scripts you have in 3dsmax. Blender has a huge advantage in that most of its tools and addons are there by default. In fact, 90% of the addons are right there for free in the Preferences, and all you need to do it turn them on. In order for 3dsmax to keep pace, you'll really need to use a lot of max scripts and plugin modifiers. MCG modifiers have helped this, but I still find myself turning to Scriptspot to bring 3dsmax up to speed with many things Blender can do out of the box.

Good luck.