Hello,
We are using physx 3d max plugin (3ds Max DCC plug-in 2.8.9 (v03131509)) and export physx scene for 3.x engine as xml file.
The problem is, we couldn't find an option to change up axis (max is using z as up) and I strongly believe there is none 
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In order to fix the problem we rotate and translate relevant objects. But this trick doesn't seem to be a good solution more over I suspect it will work for constrains. (And it is problematic, we are doing a lot of tricky things to export the scene properly)
Probably there are people like us out there. How did you overcome the problem ? Thanks