I found that the problem is related to the size of the object that exports from 3D MAX.
Yes, sorry I forgot to mention the scale issues between zbrush and Max. (See below) But please do post what you come up with as a solution. What I do now may not be the simplest or best but at least it works reliably.
For the scale issue (with Max 2020 and Zbrush 2020), it is easier to keep track of the size of the object in Zbrush relative to Max via the Geometry>Size tab. But you still have to check the original dimensions of your object in max (Measure) and you will still likely have to scale down your mesh in Zbrush so that the size of the brush spans the range of from fine details to large areas for sculpting purposes. I scale down the mesh using the Deformation tab in Zbrush (using the "Size" fader). Each complete pull down of the Size fader is a 2 fold reduction in size. (i.e., the mesh is half of it's original size.) After you get the right size mesh for working in Zbrush, check the size again via Geometry>Size and then put the appropriate scale factor in the export Scale setting before sending back to max via GoZ.
For earlier versions of Zbrush , there wasn't that handy tab for size (although a plug-in was available) and you had to keep track of exactly how many complete pull downs of the Size fader you did on your mesh, because for each pull down you had to multipy Export Scale by 2 to restore the correct mesh size in Max.
It probably sounds worse than it actually is, because it doesn't take much time (under a minute) to get it set up. But it is an annoyance for sure and if you come up with a good workflow, please post it.