Also let us know what is in Vantage Live Link Address, in System Settings in the Render Settings dialog (you can probably compare that to some equivalent setting from V-Ray, I haven't looked for it yet :) )
Corona Vantage LiveLink - Address: localhost: 20701
Vray LiveLink server on port - 20701
Vray LiveLink v2 server on port 20703
I have tried with both and still anything :(
Can you please check if port 20701 is free and not being used by another application?
You can easily check it by opening Command Prompt and running this command:
netstat -aon | findstr :20701
If nothing appears, the port is free (good).
If you see a line, it means something else is using it.
Also, try disabling firewall to see if it solves the issue.