“through the Unreal Engine Vault” is referring to the Epic Games Launcher Vault (Launcher > Library > Vault) and whether the assets have been downloaded or not is completely irrelevant.
Any assets purchased do go into the Vault whether they were downloaded or not. Assets purchased but not yet downloaded might be removed from your Vault only when they are officially removed from Epic’s servers, if copyright issues were discovered later after a report or a claim for example.