My team started Vault of Glass and we only got loot from chests. There are four total that have a chance of giving you things like ascendant materials, exotics, and legendaries. The rest of the loot you won't get until you complete the raid, meaning beating Atheon.
Well the first time (last week) we ran trough it and got loot for every phase (the chest indeed also gave loot) but i also found other ppl saying the same and also found a video showing this:
Check this video at 32:49 they getting loot for the phase ending (not defeating the boss)
http://youtu.be/2qZ1ZBxnh2g?t=32m45s
'Run Vault of Glass if you are me, I got shards at every step of the way when most got gear, at least I got a rare ship and Monte Carlo at the last boss...woohoo. '
http://www.gamefaqs.com/boards/995873-destiny/70207624
At the end of each of the three major stages, you’ll receive loot.
http://www.vg247.com/2014/09/29/destinys-vault-of-glass-is-a-hell-of-a-good-time/
Every Box Phase or Boss only gives you loots once each week, per level...
http://www.destinyoverwatch.com/threads/tips-on-vault-of-glass.719/page-2
After going through the Vault for a bit, you'll come to the first real fight. This is technically all one boss, but you get loot at two different times, so I'll split it into 2 separate encounters.
http://www.gameskinny.com/z7ivi/destiny-vault-of-glass-raid-guide
Oh, I see. I think you can only do the raid once a week and still get the loot for each phase. It refreshes every Tuesday around 2 AM. If that's not the problem, it must be a glitch of some kind, because we got loot for each phase. You should almost definitely get ascendant materials for each phase and possibly raid gear if you're really lucky.