This might be outdated by now but I had the same issue and just found out how to get it to work.
I'm using Octane for Blender, so I'm not entirely sure the attributes have the same names across platforms.
In the Octane environment tab I can add a Medium (which in my case is a Volume Medium), but it also lets me set the Medium Radius
You need to crank up that radius and then adjust (scale or absorption/scattering values) to your liking. Then it will look great!
Hope this helps.