This has been there for a very long time. Whenever importing FBX with skeleton/armature from other apps, many times It's completely screwed - bones are rotated in wrong directions and rotations are wrong. Looks like coordinate systems are not converted correctly.
In this case - perfectly normal skeleton from Maya (From actual project where it is used in production in Maya, Unity, Motion builder etc).
Blender: All versions
OS: All OS
While I cant very the file in another program atm (could do tomorrow) I can confirm the output in blender looks unexpected [tried a couple of settings with no luck]
Hate to ask, but @Bastien Montagne (mont29), could you have a look?
Using Force Connect Children and Automatic Bone Orientation will help. Besides that, yes, upper part of the skeleton is weird, no idea why. Probably some issue in Pose/bind matrices somehow, armature model of FBX is so complicated…