There seems to be a problem with the fbx the reason is if you align the gizmo in 3d-max then save it out as fbx it doesn't show in skyline but it does if you save it as obj,x, so the only way around it at the moment is save as obj then convert it to fbx.
The reason I say its skyline is the fbx file that is exported with the pivot point fixed works fine and shows correctly in any other software I open up on.