Most V-Ray materials should convert - are you sure you have V-Ray installed on the machine (necessary for the converter to run; it can be just the demo, and can be expired, but it does need to be installed)? Is it possible that in Max 2016 you have V-Ray installed, but not in 2019?
Also yes, ensure you have opened the effects tab and deleted them, since this is a converted scene it could have things in there which are not supported by Corona, as sprayer mentioned to do.