Free models are a hit and miss, standard materials are an easy way to export basic materials to another software but its very limited. This is why vray has its own exporter so that your materials look the same between software (as long as you are using vray for both).
If you are downloading models with PBR materials (metal/rough) then these are designed to work with PBR shaders/materials, like the Physical Material in 3dsmax or Vray. Other PBR setups such as (gloss/spec) will work with most render engines. PBR materials are the new standard so the ‘standard’ material in 3dsmax does not support these.
If your plan is to build everything for Unreal Engine then you should set up those materials within Unreal if you want the cleanest workflow. There are also alternatives such as Datasmith that can transfer full vray/corona scenes with lighting etc, but you will run into certain objects/materials that wont convert 1:1 and have to fill in the gaps yourself at some point.