On startup, 3ds Max searches several locations for MAXScript startup script files (see the "Startup Scripts" topic in the MAXScript Help for more details about these locations and how to configure them). Python scripts in these locations are ignored. To work around this limitation, you can create a MASCript script that invokes your Python startup script using Python.ExecuteFile(). For example:
Python.ExecuteFile "myPythonStartup.py"