This might not be a bug but it just doesn't work:
When I import an animated model that is exported using 2011 FBX exporter from 3d max I get only 1 frame (NO Animation)
However, when I try to import the same model using the same way but FBX 2010 exporter the model imports with all the animation on....

I can confirm that it is not a very bright idea to export something with a 2011 exporter, and import it with a 2010 importer. However when you try it other way around, you might had better luck.