I can confirm it's a V-Ray 3.7 bug, because happens also with VRayInstancer.
It happens with FP7, but not with FP6, because we use new rendering methods more similar to VRayInstancer.
That lets us to implement new features, as to inherit materials directly from the source objects, instead to use a multisub material.
You would report it to ChaosGroup, but probably they're not supporting 3.x anymore.
By the way, V-Ray 5 works fine.