How to identify genuine AirPods Max headphones?

You don't, unless you purchase them from Apple or Authorized Apple seller.

• The serial number on fake AirPods are just copies of legitimate numbers, so there is no serial number check.
• The counterfeiters copy the boxes just as easily as they do the physical materials of the device.
• Because the counterfeit market is so huge, third party sites are flooded with them.

The risk is yours to take. If you are happy with them it does not really matter. Getting service on counterfeit AirPods is not going to happen, so as long as you don't need service you don't need to worry about not having any coverage.