Could you share a screen cap of the FBX import window when you import the animation? I think there might be a step missing or misunderstood from my side..
I tried to replicate your suggested workflow using A3_character_example.FBX and A2_animation_poses.fbx (so we have a common ground if need be and to rule out any mistakes that might be present in my mesh / skeleton / animation).
For the master scale I use 0.01 (as the units set for A3_character_example is centimetres when viewed in max).
I do the following...
Result: mesh disappears, as does all of the weights. Looks to me this is due to the import overwriting the current LOD (all the bones disappear from the property window), so I expect so.
Here is a short video of the import:
If you can help me nail down the process, I promise to neatly document and share with the forum and armaholic etc.
Also, sincere thanks for taking time out to respond!