I believe most artiest here see to it that the native formats they deliver renders out of the box with the default renderer, or the renderer that specific artist typically uses and supports (advertised this in the description, for example setup with Vray, etc.). The exchange formats (OBJ, FBX, etc.) if exported correctly, should usually (but not always) support the basic native material slots/textures of most 3D applications, however you would still need to setup materials if using different plugin rendering software that uses different materials then what your host application delivers. Its impossible to support all the different 3D software and renderer combinations out there, so in your case if the artist advertised a 3ds max file setup with Keyshot and it does not render out of the box then I believe you would be entitled for refund. If the artist did not tell anything about this sort of combination then he is not obligated to support this.
Question, did your package came with OBJ+.mtl file?
If so then make sure to have the folder named “maps” (holding all the textures) resides in same folder where OBJ resides. FBX usually would have media embedded in the file and create basic materials with the textures in diffuse, specular, bump, etc. on the fly upon import (if artist have setup correctly). However, keep in mind if the artist would have used a third party renderer then implementation of FBX exporter in his host application would most likely not support this renderer and thus not contain any material or texture media upon exporting his scene. I believe artists are not obligated to create an FBX having native materials in it but it would be good practice if they do so.
