Is there any known common preference for one or the other? Would I be off better using 3Ds Max or Unity's toolset to build my levels from within Unity?
That depends on what you want to achieve. If you are creating a complex game with realistic indoor environments I'd suggest to do it in Max. If you want to create a game that uses levels comprised of a lot of similar "basic elements" I'd import all the necessary models and place them into my Unity scene.