We are sometimes providing MAJ file to client to support them in sheet metal fabrication. My question is, how MAJ files are  used to support sheet metal fabrication? 

 They contain the "job" or  information of the system. These are the individual parts that need to be fabricated. Generally MAJ is a job file that is brought in to CADmep. This means it contains all the parts of the system along with services they are suppose to be associated with.  They will then be able to create shop drawings and Spools and create reports listing all the parts and materials required. 

Secondly I am very curious to know, are these MAJ direct reads by cutting machines? if so, what kind of cutting machines reads the MAJ file?

 Not that I know of, the Fabricator will make sure the MAJ file (which contains all the parts) is corrected to work with their available services & parts. If they are fabricating ductwork, then they will nest (determine how the piece fit on the material they are cutting from) send the information to the CNC machine to cut the parts to make the ductwork.