This might not be vray related, but Im sure the knowledge is here to solve this 
How do I make the vrayhdri visible in the viewport ? It?s all black right now. I?ve had no problems with this with Max 2009-12
It renders fine…
Works fine for me in Max 2016 + Vray 3.50.04.
How VRayHDRI is used in the scene, is it plugged in the Environment Map?
If yes, is the Environment Background enabled from the viewport settings:
What is the quality type for the viewport and what is the status of the Exposure control for it?
Like Alex_M pointed out this should work fine but there are some options that could make it very dark like Exposure settings for example.
sometimes I find it displays it black if it’s a very large file. Try a smaller verison say 4k and see if that works.
Hmm… I now get it to work out fine with another brand of hdri that requires other settings.