I noticed this early, but forgot about it until now. I've never been able to actually talk with Vex, and I've only ever been able to bring up Delvin's training option. Once, I had a conversation with Vex, (there was an optional quest point to ask her about a man named Vlad,) but other than that, she will only talk to me if I start the restitution quest (I attack a guild member.) The rest of the time she just says "I'm not holding your hand. Figure it out on your own" or something like that. A part of the problem might be that, when I started the Thieves Guild quest line, I never received the Thieves Guild armor, but I didn't mind, so I never looked into it. I should point out that I don't have many saves to go back to. This is my second playthrough, the first time the Thieves Guild quest line glitched before I could even start, so this time, I started the Thieves Guild Quest as soon as I could (after I killed the first dragon, at Whiterun.)