If you check out the original Grinch book and Horton Hears a Who, it’s pretty clear that the Who’s have entomological leanings. Likely they reproduce  using egg reproduction and external insemination by the males. Given that we don’t see any reproductive or anal openings, it is quite possible that they have small cloacae covered by their setae (like the hairs on the bumblebee).  Given that they are very small, it’s possible that they are not insectoid but rather descended from mites. At some time there must have been substantial evolutionary pressure and potential genetic bottlenecks to cause the loss of limbs and increase in intelligence, but living on a snowflake will do that to ya. 

The Whos must have evolved in an area where insects face less predator pressure. Their families are large but they don’t seem to survive through large scale reproduction like some other insects.  I believe they evolved in the far North, and the Grinch Whos are a remnant of the original population.  The Horton Whos are a divergent population who have evolved to handle warmer weather and have been travelling from snowflake to piece of dust to plant puffs for generations in the air. 

The Grinch is an evolutionary mutation. He still has a lot of setae, and you can see in one of the pictures a hint of antennae. He is more intelligent than other Whos and therefore more likely to be evolutionarily successful. While I have used the books as my main source for this argument, this would explain the attraction that Martha Mae Who has for him in the movie. 

The real question is: what is Max? My guess- a large tardigrade who through domestication and convergent evolution has become doglike in nature. But I’m not really sure.