Vegas doesn't really properly support any raw files. This issue has been discussed here in the past if you searched. The developers said support for ProRes raw and Blackmagic Raw is in the works but requires improvements to the overall architecture to ensure reasonable performance. So don't expect it any time soon. Canon developed a plug-in for other NLEs- Vegas may be too small for them to bother.

Resolve isn't totally free- for hardware decoding you need the Studio version. It's also heavily subsidized as it is produced by a hardware manufacturer which makes money on cameras, control decks, etc. Resolve also started as grading software so it's pretty obvious why it had raw support. Adobe leverages the company's long history with Photoshop and its own DNG format. Final Cut has more limited raw support, but again is backed by a hardware manufacturer (phones, computers) and created its own ProRes raw standard. Vegas benefits from none of these synergies.

I personally hope an overhaul of the Vegas graphics engine is in the works that will pave the way for proper raw support and a better playback experience overall.