Hello laborda,
I finally solved it. It seems Vray creates a small representative plane for the surface on which vray fur has been applied. If I had a large area for example grass, this representation is tiny enough to miss it. I additionally applied material to this representation and it finally works!
Its explained well in V-Ray 3 for Rhino: V-Ray fur for grass | FlyingArchitecture
Vray 3 Fur1379724 784 KB