Okay, I've heard a lot of theories here purported as fact. I'm going to write down all the things from the Grimoire related to the Vault's origin, not random speculation. 1) The Vault is almost certainly a Vex attempt to simulate Oryx's throne world. In the Books of Sorrow, a Vex unit called Quria gathers huge amounts of data from the throne world and sends it to the "greater Vex", before being Taken. He states that it will be necessary, as there will be "projects" in study of this "throne-space". E.g the VoG. Given the Vex connection to the Hive and the similarities between VoG and KF, this theory is almost certainly confirmed. 2) Atheon was either created by the Vault or he created the Vault. This itself is stated in his Grimoire card. No one actually knows which came first. It may be neither, given the Vex relationship with time. 3) Atheon and the Vault were working with the Black Garden and other Vex factions. We know from the Black Garden Grimoire that the Vex were initiating a "colossal project" using the Heart, but it wasn't yet powerful enough. This same project is referenced in Atheon's Grimoire, with Atheon described as the "command nexus, uniting efforts across time." This makes sense given that he is "Time's Conflux", and regulates the Conflux system. So the Vex in the Vault were working with the Black Garden on an unknown project that would probably have resulted in humanity's destruction, if we hadn't purged both places. That much is certain.