Sorry, but there is no tool to export the Embree XML file format from Max. For more information about the XML file please look into the app/importers/xml.cpp source file.
You can export the OBJ format from Max and load these files into Embree. However, not all features are supported this way. For instance, light sources have to be set via the command line when choosing this approach. For command line options see embree -h
