Two kinds of externally referenced files (XRefs): XRef Objects and XRef Scenes are handled by 3ds max in a different way:
Objects loaded in the master file via XRef Scenes cannot be selected nor modified, and do not appear in the Select From Scene dialog or Scene Explorer, the modifier stack, or the Track View. You can animate them in the current file only by using the Bind To Parent function in the XRef Scenes window.
We'll check if there is any possible workaround to bypass such limitation, but at first sight we don't think so.
Instead, XRef Objects can be easily used for these purposes.
Anyway, thanks for your suggestion, your feedback is very important to us.