I am not 100 percent sure the vex know what a throne room is. I know they have been in one, seeminglu not much trouble getting in (or crota left the door unlocked idk) but why would the vex need a throne room for?
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It's a pocket dimension: an infinite space formed from a singular point in another space in a constant flow of time, which allows the pocket to exist at a fixed point in time. As for why they'd want that, it'd allow an infinite space to connect gates to all worlds and time lines and infinite time to build a limitless number of troops that could be sent through those gates to bolster reinforcements. It's not that they need need one, but after seeing one when Crota showed off for his cousins... or something, I'd want one.
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I actually don't believe the vex time travel anyways. Warp places yes. Connect realities, ya. Simulate realities, sure. So I don't see the point really.
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To warp is to time time travel depending on your method. The universe is constantly shrinking and expanding, so time is a good axis to base your travels on. It'd help explain why the Vex seem to put their portals in odd places and on shifting platforms as well: if they treat planes of space as structures, they might be using modal frequencies to build gates where they "would be" in comparison to where they "should be" now to travel through them. Still fits into the whole simulation thingy.