Have done a few WM9 files through the Microsoft encoder and haven't noticed this. I usually get it where it looks good on my monitor through color curves, then save as AVI and then encode. Both the avi and wm9 look pretty similar. I know this doesn't help, but this way you know it's not happening with everybody.
Microsoft seems to be updating the WM9 Encoder and WM9 Player fairly often on their web site (as well as the SDK). It's quite likely that there are different versions of the underlying Windows Media DLLs being used, which could explain why you are seeing some differences.
If you are seeing the problem where WM9 renders are too dark, please post the following information so we can relay this to MS:
1. What Windows OS are you using, installed service packs, etc? What version of the Windows Media 9 tools (WMP, Encoder, etc.) are installed?
2. What version of Windows Media 9 are you using? To determine this, go to your system folder (usually C:\WINNT\System32 on Win2K or WinXP), scroll down to wmvcore.dll, context menu | Properties | Version tab.
You may need to change settings in the Windows Explorer to see this file -- Tools | Folder Options | View tab, uncheck Hide protected operating system files and choose the Show hidden files and folders radio button.
3. Did you try rendering with Windows Media 8 and compare the results? This is possible using the Vegas 4.0 beta, as both rendering formats are available. You will need to create a custom template for Windows Media 9 as the presets in the beta are only for the Windows Media 8 codecs.
Note 1: If you haven't installed the Vegas 4.0 beta yet, installing it will update Windows Media 9 if it is a newer version (build 2903) than what you previously saw in #2. This can change your results whenever you render to WM9 again.
Note 2: There will be WM9 presets in the final release, but as stated in the README the WM9 format plugin is under development.
you might want to try turning off display acceleration (display properties / advanced / troubleshooting slider) to see if it's a problem with the directX overlay. I've run into situations where the overlay was brighter or dimmer than the video. if it looks right when you disable display acceleration, try upgrading your display drivers or get the latest version of the player.
That seemed to help...WM8 anyway. I have already uninstalled WM9.
Another problem I found with it is you can't have multiple instances of WM9 open. I like to compare various settings side by side before I publish. I hope MS will fix, but not holding my breath...