TLDR: They do similar things but not the same way. It really depends on what you want to get out of it and how you are looking to use it? If you're just doing render projects or baking it down, then I guess it doesn't matter. The only real problem I have with XGen is that it doesn't output guides for Nvidia hairworks. There are some plug-ins for Maya that do a slightly better job and have some nice approaches, but it really depends, if you need their specific features/improvements or not. With XGen I'm pretty happy to use it out of the box for quite a few hairstyles. Overview Things that the developers should know about Authentication What. 3dsmax Hair/Fur is not bad for somethings, but there have been a lot of plug-ins that offer a lot better functionality since then and if you're a max user you pretty much need a plug-in to do decent hair. ornatrix, ornatrix maya, ornatrix c4d, ornatrix vs xgen, ornatrix blender. XGen is pretty good for an out of the box solution, it easily beats 3dsmax's ancient hair/fur modifier which is just a really old version of Shave and a Haircut, 3 or 5 I think. Since it seems like you would like a comparison, here are my thoughts as a 10+ yr 3dsmax user and a 5+ yr Maya user. You can't use it due to price or someone said no, or you didn't know that it existed for maya?

Ornatrix for maya overview