I think most people (including myself) like Vex because she is not the stero-typical damsel in distress and is more the one kicking ass herself. Also her jobs are fun to play. I always grab a numbers job and a sweep job.
You know, I like Delvin but I think his most valuable asset is his chair.
That's one of the reason I don't like Vex : she always has to be arrogant but we never see her actually doing something outside the bar and she never goes out with us on missions. While that's ok for Vekel, Tonilia, Delvin and even Mercer to be constantly at the Ragged Flagon, in my opinion that's not ok when the first thing you say to the rookie is "I'm the best infiltrator this rathole of a Guild's got, so if you think you're here to replace me, you're dead wrong". Uh, hello? What about a name?
Also A FANDOM user188.8.131.52 said she's not your stereotypical damsel in distress, but that doesn't mean that she's not stereotypical. She's the tomboy, she's one of the rare women among many men so of course she has to be romantically "liked" with several men (Vald, Garthar, Delvin) not to mention that nickname "Our little Vex" (Brynjolf, Delvin).
The Thieves Guild is my favorite so I suppose that's why I'm so bored with her. That's the one questline I've done the most and that guild is not perfect : No follower, the characters have two lines and that's all, most of them don't call me guild master and still treat me like the newbie ...