Early on in the novel, we learn that Max's bedroom is in the basement of Grim and Gram's house. In fact, Max himself says, "... but do I complain about the crummy panelling, or the rug that smells like low tide? I do not. Because I like it in the down under."

To answer your question, then, it would appear that Max does like the down under, but a better question might be why does he like the down under? He's separated from Grim and Gram, it's dark, and it's confining. Why would anyone like that situation? 

We could possibly view the down under as a symbol for Max's sadness and personal obstacles he must overcome. It's a place for Max to retreat to when he gets upset - for example, when Gwen mistook Max's appearance for his dad, she ran home with Freak, and Max snuck under his bed. 

But it's also a place that Max needs to be lured out of, which is where Freak comes in. Through their adventures and friendship, Freak is able to get Max out of the down under. When Freak dies, of course, Max retreats back to the down under; however, we are left with the impression that through the blank journal that Freak gives him, he won't be in the down under for long!