V-Ray Volume Grid is a special kind of volumetric effect that works with grid-based cache formats, compared to Environment Fog (https://docs.chaos.com/display/VMAX/VRayEnvironmentFog) which is a general purpose volumetric effect. The Volumetric Grid reads its data from an input file which supports grid-based representation of the volume. It works with formats like VDB, AUR and others.
Example video from V-Ray for 3DS Max
https://www.youtube.com/watch?v=Onw6Z4Nfy00
Submitted on AHA Ideas (VBLENDER-I-33).