That’s normal. The wireframe allows you to rotate/move your light as needed.
As to it ‘not working’ when rendering…it’s likely due to the intensity being too low. By default Spot lights are set to 1000 intensity. Try bumping up to 100,000 or more. See examples below.
Here’s a spot with default settings. Can’t see any affect at all in my room.
Here it is again set to ‘100,000’ intensity. I’m starting to see something so that’s good:
And lastly, here it is again with a warmer color added and a softer ‘Penumbra angle’ applied. I also added an ‘emmisive’ material to the lamp face itself so the light source is showing.
PS don’t use the default lighting measurement scale in Vray, change it to watts or lumens you can then manage and balance real world intensities with other lights rather than an arbitrary value.