It is generally a good practice to save the scene before running the converter and to verify that everything is converted correctly afterwards.
In certain lighting conditions or when using certain global illumination solutions, the render start up times can be improved by using the VRayHDRI map to load all textures.
If the command is missing from the quad menu, It can be added by pressing the V-Ray menu registration button found on the right side of the V-Ray Toolbar. Alternatively it can be done with MaxScript using the command registerVRayMenus()as described on the Menu Integration page.