Sorry, no idea here, have your tried the same with obj and Collada? Or try and see if the FBX is working with materials in CE, when you import it again, that could be a good way to check if it's the export or the system you are importing it to. FBX stores the materials in the same folder as the FBX file.
Did you center the location before export?
Just some thoughts, don't know if it will help, I've never experienced similar..
I can't test your rulefile obviously, so I tried a quick test exporting some building footprints that are mapped with an aerial image - pretty standard stuff.
I get a one to one match between CE view and OBJ, FBX and Collada.
(this is with Lightwave as I don't have MAX on this machine - but can test it tomorrow)
As Kenneth mentioned, try centering the model, plus try using "Only write first layer of UV's" perhaps ?
Autodesk developed / owns the FBX format so I find it hard to fathom that it wouldn't work properly with MAX.
Sorry Alan - very slow to respond to your comment! But it's definitely Max-related. I too find it hard to believe this wouldn't be available. I think the example you show is different to my scenario, as the Local Government 3D Basemap rule package is dictating the texture coordinates per facade in my scenario, rather than one image blanketed over multiple geometries.