Hi kchow ,
First, Render Preview always uses EEVEE.
You can go to Rendered Shading and see it with Cycles, or change the Render Engine to EEVEE and go to the Render Properties > Volumes Tab and change the Custom Range, or disable that altogether:
Isn't that the same issue in this thread:
Thank you very much Martin and Omar,
This is it! I got the visual. I have not used vdb before and did not realize there is a "Data" properties and that the vdb file have to be linked correctly there. And the "File - ExternalData- Report Missing Files" did not show any problem!