I noticed that light linking doesn’t seem to work with objects that use the ScatterVolume material. In the image below you can see two spheres, the left having a scatter volume, the right having a normal VrayMtl. Both are excluded from being lit but only the right now actually works correctly.
I also attached the scene for reproducing the issue.
LightmaskIssue.zip (34.6 KB)
You can try layering it with a vray material that has a 1 IOR and white refraction so it will not have diffuse/refract component, and specify your own IOR for reflection, and this will give it a reflection, and make it work as a vray material in all the places it needs to.
Thanks for the suggestion Hristo, however that doesn’t seem to work either. The linking does affect “the outer shell” - the blended VrayMtl, but still not the inner VolumeScatter material.
I see - yeah that’s unpleasant 
Hi @racoonart ,I’ve reproduced the issue and reported it, thanks for the feedback.
Hello again @racoonart , the issue is fixed in last nightly build.