Importing 3D Models and their Textures

I have a couple questions on importing different model formats and importing them with their textures already attached. For most formats, the materials will import, but not textures. We can import them and apply the textures manually, which isn't the end of the world but if there's a way to do it automatically we would rather do that. I cannot seem to find a clear answer anywhere, only that sometimes FBX will import the textures automatically.

1. Are there only certain formats and specific 3D modelling programs that will allow you to automatically import their models into Unity with textures already attached, or has this feature gone away completely?

2. Is this considered bad practice to import models with textures already attached? I was reading that it takes extra work from Unity to import the models with textures already attached and they want to discourage it anyways because it is bad practice so that's why the feature doesn't exist for most formats, although I never found a clear answer why, this was mentioned multiple times

3. For narrowing down this topic a bit, I think we will be primarily using 3DS max and blender for 3d modelling. For FBX imported into Unity from Blender I remember in the past FBX models automatically importing the textures as well, but this doesn't seem to be the case anymore.