That is a well know problem. No solution. You can dig as deep as you want in internet and you won't see any until Pixologic releases an update of GOZ for MAX, that doesn't seem it is going to happen any time soon.
It works OK in Max 2017.
Well over a year now and there's still no fix from what I can tell...
Off chance that if an Autodesk employee reads this, please consider looking into this!
Its Pixologic who created the GOZ link between Max and Zbrush and who maintains it.
Well, maintained... currently abandoned.
To be honest probably to fix it is trivial from code point of view for Pixologic. Some changes in Max have broken the link, but any link needs some maintenance that I don't think Pixologic plans to provide.
You can yet use a workaround that allows communicate both programs:
https://forums.autodesk.com/t5/3ds-max-modeling/goz-opens-new-instance-of-max/td-p/7284116/page/3
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