In order to get proper shading for the smoke, the light source has to have shadows enabled, including atmospheric shadows. Otherwise, the smoke will be rendered as flat and featureless.
V-Ray lights have these settings enabled by default.
A 3ds Max light, such as an Omni light, must have its Shadows On, Shadow type set to VRayShadow (or Ray Traced Shadows if using the default Scanline renderer), and Atmosphere Shadows On.
