I think you are confusing the purpose of a 3D modelling package like 3ds max in the field of game development. For art, you ultimately want the 2D image, but for games, you just want the 3D mesh (and animations).
Yes the model may have been rendered using Vray in 3ds max, but that would have just given you a 2d image, which was generated by performing lots of prettifying calculations on top of the basic ones of just drawing the 3D model onto an image. But thats that, all Vray gives you is a beautiful 2D image, which is perfect for artists.
What a game does is import the geometry you created using your 3D modelling package, then render it using its own graphics rendering engine. This rendering is usually very fast and efficient, as it needs to do it many times a second. It can definitely also be beautiful, but you need to balance rendering extras (like quality of shadows and screen space ambient occlusion) with performance.
I recommend that you read up on the Graphics Pipeline, It really gives you a clear idea of how your computer gets your 3D model onto your 2D screen. There are many great tutorials out there (like this one), so look till you find one that explains it to you clearly. Im sure there are also questions involving the graphics pipeline on this site itself.
(Added on edit, thanks George Duckett for reminding me:)
Also read up on Shaders, it is natural next step after you have got the gist of the graphics pipeline. Popular shader languages are HLSL, GLSL, and Cg (if you decide to learn one, I highly recommend Cg for many reasons, eg. cross-platform)
I'm sure that you ultimately want to improve the quality of your game's appearance - Since you are doing it in XNA, read up on the rendering engine behind XNA (this page seems ideal), and look for ways to make your graphical rendering impressive!
Good luck :)