If you read the book of sorrows you can learn where the vex come from ill keep it short basically oryx gave his son Crota his own sword and went to his throne world to meditate in the darkness. apparently Crota being the idiot he is was "playing" with his sword and cut a rip in between dimensions and from the rip came the vex war came after oryx had to cut his throne world trip short kill the vex even though most of the minds escaped. Crota was punished harshly and the rest I don't remember.