Thanks for the report. The issue you were referring to (internal bug-tracker id: VMAX-1355) concerned the Hair and Fur modifier within the xRef. I’ve logged this as a separate one (internal bug-tracker id: VMAX-14689). I suggest using V-Ray Fur instead.
The devs just told me that since it doesn’t work in Scanline it is surely an Autodesk thing. I noticed the issue is not present when using an xRef object instead. Maybe this can serve as a workaround.