Yes, you can edit an asset’s materials in all host apps except for Revit.
In 3ds Max, you can immediately edit the resulting V-Ray Proxy object and its V-Ray materials.
In Cinema 4D, you can also edit the materials applied to the "Object" as soon as the asset is imported.
In V-Ray for SketchUp and Rhino common characteristics of the Cosmos assets are editable such as the light intensity of lighting assets. You can then choose to do advanced editing by merging an asset to expose its full V-Ray material. If you do so, however, part of the functionality of the assets such as the automatic LODs might be lost.