Not sure of XYZ Axes shown across the layers in ArcScene.
But you could enable directional arrow navigation graphic.
Activating the directional arrow to help with navigation
Orient yourself in ArcScene using the directional arrow graphic.
1. Click View > View Settings and select the appropriate viewer.
2. Check the Directional Arrow box at the bottom of the window.
3. Click Cancel to close the View Settings dialog box.
The arrow now appears in the upper left of the 3D view. The larger, green arrow represents the y-direction in 3D space. If you are using a projected coordinate system then the green arrow will point north.