In Rhino 6 McNeel actively promote their new RDK material system. V-Ray 3.6 did not fully utilize it and it still maintained its own material system. With newer versions of Rhino 6 there might be some new implementations that break the compatibility with the old material system. This is no longer an issue with the latest versions of V-Ray (V-Ray Next), where it fully utilizes the RDK material system.
I strongly suggest you to upgrade to V-Ray Next, or downgrade Rhino 6 to a point where your workflow is not broken.
V-Ray for Rhino 3.6 is simply too old (released almost 2 years ago) and will be more and more incompatible with the newer versions of Rhino