MaxPlus now provides a method for creating PySide widgets correctly parented to the 3ds Max main window: MaxPlus.AttachQWidgetToMax(). You can use this API like this:
w = QtGui.QWidget() MaxPlus.AttachQWidgetToMax(w)
Note: This addition is included in 3ds Max 2016 Service Pack 1. You need to install this service pack to get this API.