XMesh does not recreate the Shaders (yet), although I had a test script that was writing out some 3dsMax, mental ray and V-Ray materials as Maya shaders. But it was just a Proof Of Concept.
What XMesh does is recreate Shading Groups from the Max Multi-Sub Materials.
If you look in Hypershade, under Shading Groups you will find one SG for each Max material exported.
For example, I created a Multi-Sub Material in Max with 6 different Standard materials, each with a different color, and assigned to a Box.
I then exported this to XMesh, and loaded it by running the content of the MEL file saved in the output folder.
I then created my own shaders in Maya, one for each Standard material in 3ds Max, and connected each Shading Group with each new shader.
As result, the XMesh in Maya displayed each side of the box with a different shader, just like the 3ds Max Multi-Sub Material.
You can probably write a MAXScript -> MEL or Python script that exports the relevant properties of the 3ds Max materials and creates shaders in Maya with similar settings. But that is not (currently) in the scope of XMesh, since there are a lot of shaders in Max and Maya that are totally incompatible.
Note that the information about the shading groups exported from 3ds Max is stored in the file with extension .matIDmap
In my case, its content looked like
0=01 - Default
1=02 - Default
2=03 - Default
The relevant Shading Groups in Maya created by XMesh had the names
I believe that the 7th entry in the .matIDmap file is a bug since the Multi-Sub Material only had 6 sub-materials (as you can see from the names).
I only renamed the last 3 of the 6, the first 3 had default names.