our take…
3dsmax looks fine and how it should look with our nec hardware calibrated monitors, that´s the important thing. there should be no color shift when you open an image (rendered in max) in photoshop. the main thing to do then first is to apply the profile of your monitor to the image, otherwise as you said correctly, windows will probably display the image wrong (because, as you said, it assumes the image is in srgb).
so when we render everything looks perfect, but the saved raw render tiffs look wrong, but only when we view them with the windows image viewer. if you open them im photoshop (and you have your monitor profile applied as your working profile, a thing you must do) and save them with the correct profile applied (the working/monitor profile) everything looks right again also in windows…
@vlado: it would help if you would be able to save images out of the framebuffer with profiles applied, so they would never look wrong at first before we embedd the right monitor profile into them. this is very disturbing as you render something nice and then always get a shock at first because the image looks dull and grey in the windows image viewer (on our monitors). but you get used to that pretty quickly i guess…
it would however make no sense to load a monitor profile into the framebuffer to correct its apprearance because it should already look correct there. this would double-load the profile as vlado said before!?
when we save images for clients we then most of the time export them with the save for web and devices dialog and tick “convert to srgb” and “apply profile” so that our wide gamut images get more or less lossless converted into normal srgb images with the (for security reasons) srgb profile embedded.
that´s at least our workflow… you can do that any other way round i guess!
cheers,
christoph.