Are the vault decks only built in response to other quest cards? If that's the case, it seems you can't enter a vault by exploring a tile, then moving the the vault space and having an encounter. Is that correct?

In other words, you can't have a vault encounter until another quest line has built the deck for you, right?

That is correct. Various quest cards will be revealed that allow Vault Encounter cards to be used to create a Vault Encounter Deck. Until the deck is made, you can't actually have a Vault encounter.

Once you play it, it will make sense.

I’m still new to this game but I think I can answer this. If a quest has you go to a vault and perform a quest action, you can do this. But in order to actually have an encounter at a vault and draw a card, another quest must first have you ADD a vault encounter card to the available decks. So you are correct, the vault tile does nothing until the vault deck is started or if a quest has you go to that location to perform a quest action.