I’ve checked the data set and it is a single-component image (so Vector to scalar conversion is not necessary), but the image is quite unusual, as it has a very uneven intensity distribution (meaningful values are between 60000-65000) and background is bright.
To visualize this volume with volume rendering, I would first normalize the intensity range to let’s say 0-5000 using Simple Filters module RescaleIntensityImageFilter:
Then choose a volume rendering preset where bright voxels are transparent, such as CT-Air preset, and adjust the Shift slider until you see what you need:
