Yeah you can do that in Max aswell, I was just looking at this tutorial the other day.
3D Palace -> Autodesk 3ds Max -> Autodesk 3ds Max Intermediate -> Intermediate 3ds Max 016 Displacement Using Zbrush In Max For Games - 3D Palace
I just found this site the other day from someone posting it on this site and I've already learned a crap load from their tutorial's.