Hello,
in your test/experience, there are some limitation from using Vray with shag fur?For example, problem with Hair shadow, hair shader, dynamic ecc… or all work fine (i hope… 
)
thank’s!
Vray wont “properly” render the shag hair unless you make it change to geometry hair at render time. and then you gotta watch ur poly counts.
It “will” render without being geometry but will be all patch with shadows ETC.
Have a look at this thread for what can be accomplished with shag fur.
Sure its not the greatest example, but to get anything good when using vray and shag you gotta convert it to geometry at render time.
http://www.chaosgroup.com/forum/phpBB2/viewtopic.php?t=7663&highlight=wip+dry+grass