Hi, there is not a specific file to define the path for the V-Ray shaders. We use standard DLLs, which are loaded from the Max root folder, or from any folder defined in the Windows PATH environment variable.
You can find the shaders in the Max root folder, as ForestVray??.dll (there are multiples files, one for each V-Ray version).
Said that, if the teapot test is rendering well but without textures, then V-Ray DLLs are loaded correctly. If not, teapots should not be visible.
Theorically V-Ray uses the same asset manager than Mental Ray, which is provided by Max. But i don't know if ChaosGroup has introduced some additional tweaks.
Have you tried enabling the "Transfer missing assets" checkbox ?. This option was helpful in other similar cases.