If the human body was a car then "Vo2max" is like raw horsepower and "Running Economy" is like fuel efficiency or your miles/gallon.
As others have mentioned "Running Economy" is generally a better measure at predicting distance running performances....especially at paces around goal race paces (be it a 5km or marathon).
If you have a relatively high VO2max you have more "wiggle room" with Running Economy values and how they relatable to race performances....but having high values in both is certainly very helpful for running fast and being elite.
I got both tested after already running PRs of 14:29, 29:47, 1:04:32, 2:16:52 etc and my Vo2max was "only" 69. However, my Running Economy is quite efficient (much more above average) at around half marathon to marathon pace. I could've guessed that just based on my PRs and relative Vo2max number.
Running Economy can be improved through years of high mileage, aerobic base and running form drills/speed work etc. It can also be improved by simply switching shoes.
Daniel's VDOT values apply Running Economy numbers together with Vo2max numbers and have relatively high correlations.
But yes, in terms of "Running Economy" the muscles play a huge role. We're talking about running form/movement patterns/muscular strength and coordination as well as what kind of shoes you might be wearing and what your stride rate is even. We're also looking at cellular adaptations, blood flow, and muscle fiber activation etc.
Running economy can be relatively better at faster paces for some runners (while obviously at a higher % of Vo2max and higher intensity....it does not necessarily decrease with speed).
Both are dealing with oxygen delivery and usage.