I do a hybrid approach. Use the phone caseless, but slide it into a leather sleeve when I'm not using it. The sleeve offers great protection when I'm just carrying the phone around but adds no bulk when I'm actually doing something with it. And I agree, the 15 Pro Max looks and feels awesome! I'd hate to keep it covered up.
I've also noticed over the years that if I'm going to drop my iPhone, it won't be while I'm actively using it. It'll be when I'm just carting it around, or maybe manage to somehow knock it off a desk.
The leather sleeve also makes a nice protective resting mat if I happen to be semi-actively using it, like sitting down somewhere and monitoring or waiting for something to happen on the screen.