Just how did you purchase Max? Direct from the Max website (STRONGLY recommended), or through Roku? And was it purchased normally through Roku, or through The Roku Channel?
Directly with Max means you can use it on any device. Through Roku may mean it will only work with the Max app on a Roku. Through The Roku Channel means it will ONLY work through The Roku Channel on a Roku device.
Otherwise, you need to clarify what you mean by "it doesn't work".