This worked for me, thank you!
Since the VLM wasn’t appearing at all, none of the corresponding settings (e.g., Cell Size) made any difference. I switched Volume Lighting Method to Sparse Volume Lighting Samples which DID generate as expected, but that is obviously not ideal.
For me, I had been working on a single level, and I didn’t even have a persistent level. (At least, when I went to the Levels editor, it was blank. Bug?) I added my level and an empty level, set the empty as a lighting scenario, and bam, VLM showed up immediately after baking again.
I played around some more with the level settings and discovered that enabling lighting scenario on ANY level made VLM work as expected – even if you just have a single level. I’m not terribly familiar with Unreal yet, so I have no idea if this is a bug or working as intended due to some other settings. I suspect though that it’s a bug considering SVLS worked without jumping through such hoops.
TL;DR: Toggle Lighting Scenario on any of your levels in the Levels editor. If the Levels list is empty, add your current level (which I think becomes the persistent level after restarting Unreal).