Documentation isn't that bad, although there is room for improvement for sure. Also they're releasing short how-to videos from time to time, so it's not that hard to figure things out :]
Making your own materials' render studio is easy. In 3ds max create sphere of 1m size for reference, place it at scene origin, create and adjust camera, lights, backdrop. Make adjustments to render settings and tonemapping (dubcat's guide to material calibration can be very good guide here) and add render limit. Finally delete the sphere (shader ball will be loaded from separate file) and save the scene. Now drag any material from Connecter to 3ds max viewport and from contextual menu choose generate preview. In process files window, go to options, choose render studio option for asset preview, then configure that studio by clicking on arrow to the right. In the next window go to render studio -> settings and add new studio - navigate to the file you saved before. Go back to the previous window and choose what cameras and shader balls to use. Also configure the way you want to preview images to be saved. Once you've done, you can close all configuration windows and press process button - the Connecter will do the rest. Don't forget that you can add multiple assets to generate preview window, before processing them. The whole process looks a bit complicated at first, but once you get hang on it, you will realise, that it is very flexible and powerful tool. You can even use your own shader ball.