Hi @Buzul.
Yes, Vray material is not supported, so when you export from 3ds Max if you export as babylon file then the exporter try to convert your materials to standard materials (if you are using Vray materials). If you export as gltf/glb i think it convert it to pbr material.
And yes, as a workaround you have to use Physical materials on 3ds max.
Here are few precious infos about how to deal with materials on 3ds Max to not lose their properties on export
If you have any issues, we are here 