I think its plausible that Vader being on the Dark side has no concept of Jedi Vanishing. That may not have applied to him. Evil destroys everything, eventually itself, because its a means to an end. Also the Emperor has an obsession with living forever (at least in the EU) so death is not something a Sith would embrace as as a Jedi might.
Obi-Wan knew his time was up, he clung on to life to see Luke to his destiny. As for Vader being confused about Obi-Wans vanishing, well Obi-Wan himself got the news from Qui-Gon much later after his passing. It was something new and not well know among Jedi I imagine, something that Qui-Gon figured out personally. I would say Vader was probably terrified about what the ramifications of what Obi-Wans vanishing would mean for him and the Empire in the long run.