Vex is not interested in just winning wars and taking over planets, their ambition is beyond even Dominus Ghaul's comprehension. Vex is interested in creating tech capable of reality warping on the scale of the entire universe, or even multiverse, combined with the ability of time travel. They are essentially trying to master space time manipulation via technology and becoming Gods. They already have time travel nailed down, and they had the Vault of Glass as a working reality warping prototype. They are probably busy putting their tech on a larger scale without letting people knowing.