Hi,
This is a huge issue with the new vray 3 for sketchup. Proxies are buggy! Chaosgroup is working on a hotfix, that they promise will be released "shortly".
Chaosgroup send my colleague this temp. workaround:
"In the meantime, as a temporary workaround, simply open the proxy component in edit mode, then select the object and apply the Multi material to it."
I hope Chaosgroup will do an update that will allow you to import proxies made in 3ds directly into SU, and the materials will apply automaticaly as they were in 3ds. But that might be wishfull thinking...
Best regards.