Did you get any further with resolving this? It's been happening to me for ages, and is really very inconvenient and frustrating.
This seems to be the only thread I can find that even details the symptoms correctly.
To confirm to anyone that may be able to help, the issue isn't a broken path, it's the record of any path not being there whatsoever. In the material editor, where the bitmap map usually contains the image file name, the dialogue just says "JPEG File". It doesn't even hint at a filename that I can go back and relink.
As Josh has expressed, this is completely random. It's not an issue across Max versions, or different workstations, or different drives/networks.
Any ideas?
Edit:
Oh, and I don't think its a vray issue at all. I use MR.