The installed version of V-Ray is not fully supported. The minimum required version to render VRayVolumeGrid is V-Ray 6.00.21.

If V-Ray is not installed, or if its version is too old, the VRayVolumeGrid will not render at all. The minimum required version of V-Ray is 6.00.21.

Solution: Install the newest version of V-Ray.

Note: If you want to use Phoenix 4 - you need at least Phoenix 4.41.03. If Phoenix 5 - then, at least Phoenix 5.01.02.