Hmm interesting question. It is indeed important to know how they could have left the vault. Haha you have made me think about all this again!
Last time it ended with me opening this thread. Anyway, what is even more interesting?
This: How did they come to the vault? Since the Gauntlet itself is there, I feel like he must have taken it from Thanos.
It could be that Thanos acquired all gems but the soulgem (Warlock Adam GotG) and the blue gem(The scepter).
So Thanos came for the blue gem (in MCU the blue gem and the Tesseract share a bound and the Tesseract has been associated with Odin in Cap 1 for instance) that Odin possesed.
Thanos lost the IG and fled. Suddenly he sees an opportunity. Loki. Once again he forges a plan to take gems from Odin, only this time not 1 but 4.
In Thor TDW he manages to take the IG + 4 gems by using an army so that he can distract Odin and steal the gems.
This means that He will collect the last gem in Gotg, but one gem remains. The blue mindgem, itīs in the scepter on Earth as you said!
Then we have the A3 plot right there. Btw gonna sleep now so donīt expect a reply for atleast 8-10h