The planet with their giant super important simulation was being eaten by it (and might still be eating it, we only decoupled it from the sun)
I'm kind of surprised they haven't telaported onto it and tried shutting it down or converting it into something to nullify the sun like in the future that they attempted to make, and you gotta admit it'd make an interesting strike :p
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Considering the Red Legion took down the City in a single attack (and the first time the Cabal in general even come to Earth) when they arrived, being able to fight the Vex on Mercury and win would've been pretty easy for them. Heck, they even took Mars effortlessly and destroyed the Black Garden portal, effectively ejecting the Vex from the planet. The Vex more than likely tried to stop the Cabal from invading Mercury but could not stop them, let alone even trying to take the Almighty.