Yeah, I get that too. Bayonetta is an awesome character and the rest of the cast if very colorful, but that's the feel of the game, it doesn't take itself too seriously.
Vanquish, on the other hand, we never get fully acquainted with any of these characters. Sam Gideon is badass, but Burns, for example, they try way too hard to make him sound tough. We barely get to know that professor and Zaitev... Well, [spoiler:31gcp3c6]Again, he just goes off into the sunset, because he essentially accomplished his mission, when he blew up the space station and apparentely reported his achievements to his superiors.
I really wanted to put a bullet between his eyes, but I just didn't get that.[/spoiler:31gcp3c6]