iPhone XS Max’s home screen doesn’t rotate in landscape orientation either. I really don’t understand why.
I am guessing it's for the same reason that the X didn't - unlike the Plus models, the Max has a narrow aspect ratio, so there is not enough up and down space. Another reason may be because FaceID does not support landscape orientation, and if you launch an app that uses FaceID (such as a password manager) while in landscape orientation people would e frustrated by the failure of FaceID to unlock.