First off, yes, I'm Brazilian, but I have little else than absolute loathe for my country, so don't take what I say next the wrong way.
So, HOW IN THE GALLOWS AND HELL is a sequel to a game that's at best "cult" and at worse "complete commercial failure" a move to squeeze some money? Especially after making such bold changes of setting that could do nothing but displease the already diminute fanbase? When was the last time you heard Brazil is a sure-profit setting? All games, movies and books settled in Brazil were atrociously bad commercially and extremely inaccurate. As far as bizarro exotic interesting backwater places go, Brazil rates somewhere below Guam. A marketing specialist who recommended to change a franchise to Brazil should be sent to a madhouse or sued for actively trying to bankrupt the people he's working for.
As for the company change, I'll say the last GTA I enjoyed was GTA 3 vanilla, and liked better the GTA 2 anyway. But Bully was, for me, quite a good turn. Rockstar has some talent and I can only believe that straying away from GTA tie-ins will make some good for them.
Now, from what I got from Max Payne: I played both. The narration struck me because of the terrible psychological conflicts within Max's mind and how real, as a miserable character, Max was (it reminded me partially of Machado de Assis' books, the only Brazilian writer anyone will ever see me praise). The original game was made roughly 10 years ago, so it can really only be interesting to see a game that doesn't follow "comic book time" for a change. Time does pass on in Max's universe. That's a curious phenomena. How will this affect the gameplay? I have no idea. How this will affect the narration? In wonderful ways, if pulled through.
Now, while I've seem roughly 15 gross misconceptions about Brazil in what I've read about the sequel (and a few more just in these comments) I have to say Brazil fits. You know the favelas? I never go anywhere near one. For a goddamn reason. Now Max may have needed to scamp NY for a reason, or maybe he just thought he could, perhaps, get away from the tiring depressing job that is being a NY officer and going to what he thought was a paradise to live off of an easy well-paid job for his profile. If he was really at peace by the end of MP2, this fits. If nothing else, the change of setting will at least drive away the worst fanboys, so its a win-win situation.