To add to this: there are two different types of Data Vaults. For locations such as ~/Pictures, ~/Documents, Calendars, Contacts, etc. a permission prompt is triggered if an app tries to access it. Other locations, such as where Mail and Safari keep their data, can not be allowed from a prompt. Those require "Full Disk Access" for third-party software to gain access, which you should give only to applications that really need it, such as a backup tool.
Anything not on those locations is not protected, so there's no Data Vault for Chrome's cookie file, for example.
Anything not on those locations is not protected, so there's no Data Vault for Chrome's cookie file, for example.