If you're trying to open a .cue sheet with Max (File > Open), but are getting the error...
...open your .cue sheet in a text editor and make sure that it has a blank line at the bottom. This solved my issue, which I couldn't understand because Max was happy to convert the .ape file that the .cue sheet came with.The document "whatever.cue" could not be opened. Unable to open the input file.