I'm not quite sure what you mean when say "converted the entire scene to VRay".

After assign VRay as renderer, I just convert certain materials to VRay types (like those with reflection or refraction) and leave rest as standard material.  IMHO, there is not much advantage in converting simple material like cloth to VRay material.

If you are using some maxscript to convert materials, I would suspect some problem there. 

Any time I use some script that affects materials, I always select renderer first because syntax and offset sometime different in each engine.