It is important to keep in mind that the Cray company name not only went through several hands, but it also built many vastly different machines.
'Classic' Cray machines in lineage since Cyber/CDC did not use nor support virtual memory. This goes all the way until 2003's Cray X1.
In 1993 the T3D of Cray Research Inc (Without Seymour Cray involved *1) marked the first Cray with standard, off-the-shelf microprocessors (Alpha 21064) and virtual memory capability.
During the SGI years (1996-2000) the company was focused to move customers to SGI's MIPS based systems based on the Cray T3 HIPPI communication system.
Project Redstorm in the early 2000s marked Cray's (Now Cray Inc) final move to standard CPUs by using a massive number of AMD x86 Opteron CPUs. Naturally the ability for virtual memory came with that choice. The XD1/XT3 generally available version and all follow up machines were developments based on this design and using x86 CPUs.
On a historic note it might be interesting to know that Cray was not the only one to think that virtual memory is a bogus idea and only wasting resources. IBM engineers designing /360 machines were also refusing to add virtual memory as a standard feature. After all, who on earth would want to buy a large, upper end computer just to considerably lower its memory throughput for a feature that only adds a huge pile of software layers, making it even slower. It took massive pressure from marketing (and customers) to make it a default feature for /370 CPUs.
*1 - Cray himself was involved until the Cray-2 and Cray-3 machines with Cray Computer Corporation as a subcontractor. The company closed in the early 90s, when the Cray-3 didn't meet the demand expected. Next he set up a new company, SRC Computers, to go into the field of massively parallel computers, focusing on communication - which never got any product due his early death. The company still exists, focusing on research.