From Kodak's Tech pub on their web site:
* The blue sensitivity of KODAK PROFESSIONAL
T-MAX Films is slightly less than that of other Kodak
panchromatic black-and-white films. This enables the
response of this film to be closer to the response of the
human eye. Therefore, blues may be recorded as slightly
darker tones with this film—a more natural rendition.
That explains why some see the film as rendering sky blue a little darker than Tri-X.
The moral of the story is - try TMax 400 with and without a yellow filter, and see which you like best.