I looked into this, and the problem is that max correctly handles bitmaps, e.g. converts them to linear space when linear workflow is used, but color selectors get colormapped only in UI, and still return the same value with different gamma. The numerical value you pick in the UI and which is returned is already in linear space, and this means, that it is different from the value in bitmap you paint in photoshop, which is in the gamma-corrected value.
Tl;dr: when using linear workflow with "affect color selectors", you will always get the same color in the scene that is displayed in the swatch. Just its numerical value is different from photoshop, because photoshop displays the value in gamma-corrected color space and 3dsmax in linear colorspace.