It's not a troll we tried that this week as well for someone who still don't have the VEX .. Anyway I'm 100% sure now that it will drop for you if you die on VENOS...!!
Cuz my friend tried to die in Mars with 2 characters and it didn't drop for him
But with his 3rd character he went to VENOS and after we killed atheon he got the vex and the red death for his first time..
Try that m8 you have nothing to loss