Did he?
Or... Did Vader not have the stones after killing the Padwans we saw in ROTS not have it in him to kill what is, even if decades old, a toddler? A baby. Just like the ones he hoped to hold in his arms after "saving" his wife?
I know that there are really good arguments against that. And I'll accept them. They probably will make a lot of sense and can also be in line with most of our conception of who Vader was after his turn and especially seeing how he was shown to be more than committed enough to his master to personally slaughter in cold blood the coming generation of Jedi in the form of those children. And after his fight with Kenobi he was part to even more slaughter and death.
So... I get it.
But while we do seem to now be firmly in the Filoni sector of the SW universe or at least drawing closer to that territory with Bo-Katan, Tano, and now teasing Thrawn, and thus by association possibly foreshadowing Ezra and Sabine etc., our erstwhile female former Jedi brought up Yoda and alluded to Vader as well, classic SW characters. I am not sure they would want to abandon those connections either and doing something like revealing Grogu was in fact taken and hidden by Vader before his fight with Obi-Won keeps the OT and PT alive and in play in The Mandalorian so to speak.
And... I like the idea that this would shade Vader a bit as a character which was the end point in the OT after all. That he was capable of making the right choice, the good choice. That doesn't wipe away the terrible thing he did to the Jedi and Padwans at the Temple that day but it would show that he was still reachable, which we know he ultimately was.
Or not.
The creators have something else in mind most likely. Something that we'll find more likely.
I mean I am surprised the most obvious choice, Master Yoda himself out of an attachment of his own perhaps (Loyalty to one's own species... Or blood relation?) is not the number one suspect. He would have both the power and resources to have hidden the baby and perhaps cloud his memory to keep him safe, just saying.