Thanks to the in game patrol data we know that the vex are actually liquid beings-Radioloria is the white goo in their chests, and they are not robots but merely using the bodies as a frame. Radioloria are a protozoa, which are a diverse group of unicellular eukaryotic organisms. Radiolaria are known to produce intricate mineral skeletons IRL, which I believe is why the vex are huge versions of these, and instead of mineral skeletons bungie was inspired to say they made metal suits to walk in and fight in.
Now that brings me to the books of sorrow:Crota opened a hole in space, a random spot, and the vex crawled through. This is the tinfoil hat part:What if the vex came from a multiverse? A alternate Earth where humans never evolved, and Radioloria made their way across the system and built their bodies. If you can comprehend this Earth that the rule now, what if once the vex came over to Oryx's world they transferred universes as well, using the black garden as an anchor between them. Would it be possible that the vex artifacts on Venus and Mars are only there because our universes melded together, as if they were there and we were there in unison? Now you may say "time travel" but so far the vex aren't eager to bother us that's much, as they don't see us as a threat. Why would they feel the need to go back in time and place their artifacts?
End tinfoil theory
Edit after many months:This is a total fluke and in no way possible, but I think it's an interesting idea if they wanted to go this way
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We do not know a lot on vex yet, we mostly have focused on hive. We do not specifically know where they came from, or how they are here. Crota did use his sword logic to tear a hole into their dimension, but that was most likely in a throne world with Oryx, which is separate from our realm. The vex might not have come from our dimension, of a separate one. For all we know they were always here but were not discovered immediately on Mars or venus. Nowhere is it said they came from our dimension or a different one, just that crota accidentally found them. The garden was most likely created by the "dark heart", which may be a worm, since Quria, Blade Transform took worms for experimentation. It learned it gave power to worshippers, so the Sol Progeny were created to worship, which is what you see in the mission "the black garden". It is known worms have power to create a sort of dimension of their own, but a bit of a stretch in my opinion to say it's an anchor between anything.