Hi! Sorry for my english, I'll try do my best. 
I've found a bad bug in rendering, which appears while EnvFog and VolumeGrid are used together. Grid almost ignore fog and visually presented as a "layer", or "sticker" on top of the picture. Better see comparison images that i take.
I made simple scene with plane 140x140, box 10x10x10, sphere r=5 and two VDBs, that presented as fire and smoke. Objects diffuse is 0.5, smoke is simple smoke with constant color 0.5 and fire is fire. Light is VrayDome with power = 1 with Spherical mode set to off. No environment. Everything is sampled with bruteforce.
1) Let's take an image with no fog. Seems like everything is fine and expectable.
https://i.imgur.com/x6MzICo.jpg
2) Let's put here a BoxGizmo and set is as a boundary for our EnvFog. Let's turn on our fog, set distance = 150 and take a picture. Seems like everything is fine and expectable, but...
https://i.imgur.com/VsHI0aV.jpg
3) Let's set fog distance to 50 and take a picture. See that? Objects are hardly visible through fog, but VDBs are there and looks like there is no fog that "tint" them.
https://i.imgur.com/ZrueCKO.jpg
4) Let's set fog distance to 10 and take another picture. See that? You cant see even a plane, but VDBs are here and fog do nothing with them.
https://i.imgur.com/9hgF15p.jpg
This is not correct result. Seems like Vray is sampling light right for VDBs (smoke become darker), but ignore camera rays at all to draw fog itself in front of VDBs.
I've tried to make some workaround for this bug and made simple box VDB volume with size of 140 and put it instead of box gizmo to simulate fog.
5) Tried to achieve result close to #2.
https://i.imgur.com/pON5lvA.jpg
6) Multiplied smoke opacity. Tried to achieve result close to #3. And THAT is correct result. Now smoke and fire looks like they are naturally inside of fog and they are correctly tinted with another VDB, that works like fog.
https://i.imgur.com/ow6iGLM.jpg
So, yes, I can simulate fog with another VDB, that covers the whole scene and another VDBs. Sort of... But this is not right. This is a crutches that fix the problem, if you know what i mean.
All render gallery is here: https://imgur.com/a/bQk8F1J
Made with last Vray 3.60.04 and 3ds Max 2018 (tried with 2017). VDBs from Houdini.

I've found a bad bug in rendering, which appears while EnvFog and VolumeGrid are used together. Grid almost ignore fog and visually presented as a "layer", or "sticker" on top of the picture. Better see comparison images that i take.
I made simple scene with plane 140x140, box 10x10x10, sphere r=5 and two VDBs, that presented as fire and smoke. Objects diffuse is 0.5, smoke is simple smoke with constant color 0.5 and fire is fire. Light is VrayDome with power = 1 with Spherical mode set to off. No environment. Everything is sampled with bruteforce.
1) Let's take an image with no fog. Seems like everything is fine and expectable.
https://i.imgur.com/x6MzICo.jpg
2) Let's put here a BoxGizmo and set is as a boundary for our EnvFog. Let's turn on our fog, set distance = 150 and take a picture. Seems like everything is fine and expectable, but...
https://i.imgur.com/VsHI0aV.jpg
3) Let's set fog distance to 50 and take a picture. See that? Objects are hardly visible through fog, but VDBs are there and looks like there is no fog that "tint" them.
https://i.imgur.com/ZrueCKO.jpg
4) Let's set fog distance to 10 and take another picture. See that? You cant see even a plane, but VDBs are here and fog do nothing with them.
https://i.imgur.com/9hgF15p.jpg
This is not correct result. Seems like Vray is sampling light right for VDBs (smoke become darker), but ignore camera rays at all to draw fog itself in front of VDBs.
I've tried to make some workaround for this bug and made simple box VDB volume with size of 140 and put it instead of box gizmo to simulate fog.
5) Tried to achieve result close to #2.
https://i.imgur.com/pON5lvA.jpg
6) Multiplied smoke opacity. Tried to achieve result close to #3. And THAT is correct result. Now smoke and fire looks like they are naturally inside of fog and they are correctly tinted with another VDB, that works like fog.
https://i.imgur.com/ow6iGLM.jpg
So, yes, I can simulate fog with another VDB, that covers the whole scene and another VDBs. Sort of... But this is not right. This is a crutches that fix the problem, if you know what i mean.

All render gallery is here: https://imgur.com/a/bQk8F1J
Made with last Vray 3.60.04 and 3ds Max 2018 (tried with 2017). VDBs from Houdini.
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