For a VaR calc you might not want to interpolate missing values. By doing that you are inherently editing the returns distribution; potentially this will make a VaR look better or worse. Not good if your goal is an accurate risk distribution.
Its worth considering what a missing value signifies. There are two cases. A missing value or unchanged value can reflect a zero trade volume. If you have volume data and it shows that trades occurred, you probably have a data error somewhere. As a result, it is worth considering bid/ask data to help complete this task. Generally in futures markets there is always a bid/ask even if there is no trade volume. You can use this data to compute the mark to market value of each position. Furthermore, it allows you the flexibility to calc VaR based off mark to bid - mid - ask.
Now lets consider a case where say bid or ask is missing, that also tell you something about the risk. If there is no bid that means no way to sell and if there is no ask, there is no way to buy. That would signify great risk because that means the the order book is empty for given levels. That is just an example how bid/ask data can inform you.
Another method would be to use data from a more liquid contract in the term-structure. You would just have to adjust the price and return to match the target contract. You can do this through a simple ratio and beta calc.
One question, are you using daily data or intraday data?
Let me know if that helps.