From the scene that you provided I see that materials are using maps that are not currently supported in V-Ray for Unreal. Composite(Composite, VRayComposite, Mix, etc.), color correction(Output, ColorCorrection, etc.) and procedural(VRayDirt,VRayDistance, Falloff, Noise, Cellular, etc.) maps are not supported and should be baked, where possible, for better import without missing assets. Also Blend materials will only import the Base material. If we detect an unsupported map/texture we will either skip it or try to import the first relevant input.
If you rework the materials a little and optimize it you will have no problem in the import. You can go from complex and heavy material to a light and simple rather quickly if you use Max’s Render Map feature in the material editor. In the screen bellow I optimized the materials which took me around 10-15 min and that imported correctly.