As you can see from these topics, you are not alone: Exporting Material Textures From 3D Warehouse Models and Some questions about texture path.
Apart from advices in those topics, i suggest you to do these:
1- Right click a material and choose 'add to model' (Under your 'Default Tray').
2- You'll notice in your V-ray Asset editor, there is a new material added with similar name and properly previewed. This new material will work in your renders. (You'll also notice that diffuse path still seems broken but who cares 😎 )
3- Apply your new materials
Note: to replace new material with old ones in the scene; left click & right click to old material from Asset Editor and choose "Select Objects in Scene". Then left click & right click to your new material and choose "Apply Material to Selection". You might still need some manual adjustments because that author didn't apply materials well enough.