I'm half guessing based on what you've written that Vegas is the Master supplying the MIDI Clock, and ProTools is the Slave, sync'ing to the output from Vegas.

Protools need to be told to sync to incoming MIDI-clock, it won't just do it automatically. It will ignore the clock unless you've ticked the right box or chosen the right preference - I'm not familiar with ProTools, so I can't tell you where to find this.

Similarly with Vegas, you need to make sure that in the MIDI preference Vegas is using the right MIDI output to send the clock signal (eg my pc soundcard has two MIDI outs, and I also have some virtual MIDI ports, so it's not always obvious which will be picked first by software).
Then make sure that the 'generate mid xxxxx' is ticked in the Tools>Timecode menu.

Lastly, make sure that you've plugged the MIDI lead in the right socket! Sounds stupid, but it's easy to do!