I don't know how it would work in Vray (but maybe it does as you'd need a separate alpha map to see through) but in SU, if you paint a face with a transparent png file, it will still cast shadows. Have a look at this topic (more exactly the post I'm linking) where I attached a small png file that could be used in SU.

I've never seen this error with V-Ray, if you choose the correct install path, and use default installation options checked.