Hi. It's all about scene scale. Max is a single-precision program (like most DCC's) and therefore can't calculate very large numbers precise. That means, that the further away from drawing origin (0,0,0) the less precision.
That's the reason Max warns you if the scene is to far away from drawing origin, and that's why it's impossible to draw a straight line far away from 0,0,0.
So use the system unit that fits your need:
City scale - meters
Interior scale - cm
Product scale - mm
Also remember that Max has two unit settings: 1) System Units, and 2) Display Units. All behind the scene calculations are done in System Units, and most UI measures are following the display Units.
NB - When using meter as System Units you should set decimals to 4 to keep precision down to millimeters.
Hope it helps