I think if you're just starting out, going through the Max tutorials introduces some quirks in Max4Live that might increase the learning curve.
I'm going through the Max Data Tutorial (Max Data Tutorial 5: List Processing) and it mentions "Double-click the noteout objects to select an available synthesizer." This doesn't work when doing this in Max4Live. Obviously the goal is to send it to a MIDI out which (to my understanding) needs to be done differently.
I think I understand how to work around that but I think further clarification should be implemented in these tutorials for people who are still learning. I think in the beginning, it was details like this that really tripped me up.