vray bug ? worksession light dosenot effect.
V-Ray Special objects (inf.plane, proxies, clippers, furs,… ) in worksessions and linked blocks are not yet supported.
Materials and lights does work, since they are imported by Rhino to the current model. Lights do appear in the light panel, and so they are rendered.
Here is an example - the light and the base mat are worksession object, while the vertical wall is in the current model
do you have problem rendering a specific light and/or specific version of V-Ray ?