Although it's convenient to do things at the right scale I don't think it should be that much of a problem to just make the skeletal mesh bigger in Unreal. What are you going to use the characters for? For example, is this like an FPS where the characters will go ragdolls and such?
If you don't have any animations done for the characters I recommend you try to rescale the rig back and forth until you find the right scale relation between Unreal and XSI/Max. It's usually a one time setup and it's worth the time, you usually only need one joint and rescale the mesh until it's fine, then you fix the real rig to be the new scale.

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