Hi @theozh
from your image it seems that probably you have a wrong z angle value on your pcb file…
sometimes the model used in the pcb file (.kicad_pcb) has different x,y,z orientation values compared to the module used for orienting the model file (.kicad_mod)
you can check it just opening your .kicad_pcb and .kicad_mod files in a text editor and search for the .wrl file name
here you can find a detailed discussion of that
VRML is a lightweight format, and it has been used as kicad approach just because it is much simpler than STEP format.
VRML has more graphical attributes that can be used to display material properties when rendering the board and models…
Using kicad StepUp tools you can have both mechanical and ECAD environment aligned and at their best.
Kicad StepUp tools can be used to import STEP models and align them to kicad footprint in a mechanical environment, where you can check distance and mechanical collisions. Than you can just generate the STEP and VRML models aligned to your footprint with a simple click.
It is a bit more complicated than using directly he STEP model inside kicad (that can be done only with latest (up today) dev build and not with the actual stable version) but can offer you some advantages like full material properties in 3D kicad internal rendering and some more tricks…
Feel free to ask if you may require further assistance 
EDIT
In general use mechanical or just STEP model as a base for your models, this kind of model are normally designed at 1:1 scale and from them you can easily convert the model to wrl format, adding material properties if needed.
Most manufacturers would give you a chance to download STEP model at 1:1 scale.
Maurice