Hi Min,
Thank you for posting in Microsoft Community. I'm sorry to hear that you’re having a tough time getting your Personal Vault set up in OneDrive. I can imagine how annoying it must be to go through the process, create your PIN, and then be sent back to the beginning like nothing happened. It’s especially concerning when it feels like a technical glitch and you’re left wondering what to do next.
This issue is often caused by sync or cache glitches in the OneDrive mobile app. Some users have faced the same issue during setup.
To fix, try sign out of the OneDrive app, clear the app's data in your settings, and reinstall the app. When you set up the vault again, using the same PIN as your device’s lock screen might help. If that doesn’t work, try accessing Personal Vault on the OneDrive website, it might work better there.
Just to check, are you using Android or iOS? Have you tried opening the vault from a desktop browser?
Let me know how it goes. I will be more than happy to assist you.
Regards,
Carlo