Vray lights default to a intensity of 30, without proper exposure correction this causes overexposure in the viewport. Unfortunately this can't be applied to the viewport, only during render through the Exposure settings in the Vray Physical Camera or in the Vray Exposure Control in the environment tab AFAIK.
If you set the light's intesity to something like 1 or 2, it will give you correct feedback in the viewport, but you'll have to disable exposure settings.