3DS Max is very buggy
I have spent 8 hours a day for the last two days inside 3ds Max, and not had to restart it once. I even left it on overnight. I've been using custom exporters and DirectX shaders all the time, too. (This is 3ds Max 2009 32-bit running on Windows 7)
If you're having problems with Max, then make sure that you're not using some third party plug-in that may have a bug. Also make sure that your system is in good working order (passes memtestx86, scandisk etc).
In my opinion, the view that 3ds Max is "buggy" is unfair; I've had just as many problems with Maya, and even more with TrueSpace, XSI and Blender. The main weakness of 3ds Max is if you install some buggy plug-in; it can ruin your day, and it's often not easy to track down what, specifically, is the cause of your problems.
And, to re-iterate the solution above: The pivot point in 3ds Max turns into the Bone transform in the exported Model, which means that it's the point that your assembly/object/hierarchy will rotate around. Scaling bones may or may not work, depending on how your rendering and animation system is put together. It's quite possible to support scaling in bones (even shear!), but it requires a lot more effort in the animation code, and will run slower, so most game engines don't.
Btw: if you have problems with your FBX files, you can try the
kW X-port plug-in to export to .X instead. It's now up to version 1.4.4, and supports most of the features in Max that you can use in the XNA Model class (and then some!).