Sure, you can always escape the classification and put him in some other category. But to me it's a lot simpler. He's gay. His attraction to his sister is so not heterosexual. There's NOTHING heterosexual about that. You may remember that the moment his pre-teen sister started to turn into a woman, Max was incredibly turned off. Also, his fantasies about fucking her from behind and refusing to do it any other way? I agree that he's pretty screwed-up, but that doesn't keep him from being homosexual. ;) Any way, there are different possible interpretations. *shrug*
The way I see it, he does feel somehow guilty about his sexuality. But it's a lot easier for him to acknowledge his sexual preferences than to acknowledge something that is socially even less acceptable, i.e. actually falling in love with another man (and not just in a platonical way). He knows he can get steaming hot gay sex if he likes, but he knows there's no way in hell he'll ever have a loving relationship with Thomas or any other man. He spares himself a lot of pain by not even acknowledging that as a possibility.