The reason that it is difficult to support the native file formats for some 3D applications is that these native formats support info that can only be used by the application itself. For example, the .max file format is not just going to store information on geometry, UVs, materials, lights, etc. It is also going to store information on the position of the view ports at the time the file was saved, the direction of any view port cameras, if a view port was showing the geometry in wireframe mode, textured mode, etc. This information is useful only within the native application because of its own unique way of handling this sort of data.

FBX can be a pain for a lot of reasons, one of which is they keep updating it and then they are slow to release info on the update. Secondly, it also, by design, carries a lot of information with it. With OBJ you get the geometry, UVs, texture information, etc. With FBX you get that and cameras, lights, multiple UVs (if they are used) and more. Developers that allow for FBX to be used by their game engine or tools need to deal with all the information contained within the FBX file in some form or fashion. I suppose it could be a pain. Gone are the days of simply using the extremely limited 3DS file format.