Hm, I've not tried parenting everything to a root model. It sounds like that preserves pivot points. Very useful to know.
Actually, your description doesn't make it clear that the pivot point is being preserved. The location of the pivot point makes to difference for parenting additional models; that doesn't prove anything. You need to actually check EntityX, EntityY, and EntityZ, or you need to try rotating one of the child objects to verify that it is rotating around the pivot you set in 3D Studio Max.
Actually, your description doesn't make it clear that the pivot point is being preserved. The location of the pivot point makes to difference for parenting additional models; that doesn't prove anything. You need to actually check EntityX, EntityY, and EntityZ, or you need to try rotating one of the child objects to verify that it is rotating around the pivot you set in 3D Studio Max.