Objects and all Editable Poly/Mesh & Poly/Mesh Select modifier sub-object (component) selection sets are supported for export and import with the 3ds Max FBX Plug-in.
Activate this option to export Selection sets. Disable this option if you do not want Selection Sets exported with your file. This option is disabled by default.
Activating this option includes extra data with your scene so be certain that you need the Selection set data before you export. Exporting a scene with Selection Sets impacts file size and if Selection Sets are not required, it is good practice to keep the file size as small as possible by excluding unwanted data.