I ran a test scene.
I used a point light and an HDRI map.
High quality settings. No changes to the file, to the lights.
The rendering with the GPU (Cuda) seems correct.
On the contrary, if I render with CPU the shadows do not appear, they seem incorrect.
The volumetric light is also different. With the CPU it is visible, with the GPU it seems that it is not calculated.
(Rhino 7 SR12 - Vray 5.20.02 - Windows 11 - Nvidia GTX 960 video card).
GPU (Cuda core):