There is an issue in v4.00.01 preventing worksessions from being rendered correctly. Our developers are aware of it and working towards a solution. Functionality should be restored with the upcoming v4.00.02 minor update.
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Full worksession support in V-Ray for Rhino has remained low on the dev team’s to-do list for quite a while.
Currently, special objects (proxies/fur/clippers/lights) are not supported.
The original issue involving standard geometry was fixed back in v4.00.02.
The priority of this feature, as well as potentially how challenging it is, will be reevaluated next month.