Is there any possibility to use 3DMax objects in Photoshop and modify them as well?

The Photoshop CS63D engine enables the end user to import3D objects in a wide range of formats including OBJ, Collada DAE, Flash3D and Google Earth4 KMZ. It also enables the creation, import and manipulate of3D objects directly on the canvas.

1) Import a3D object as a layer to the photograph, using 3D > New3D Layer From File.

2) Switch to the3D panel to show all of the3D property settings. Using these panels you are able to control the textures, colours and other facets within the object: including the lighting types, shadow and object position.

Depending on what your Photoshop version, On the PS CC2014 you can open .3d studio file format. 

How much you can modify inside PS will always be limited to native3d app. Mostly people flatten the Mesh down using UVW-map to paintable form to take inside Photoshop for texturing tasks.