Because people did a bunch of small, poor-quality studies that seeded to show improvement. But when we did larger scale, properly controlled, randomized studies, where we gave people vitamin D, it didn't show much of an effect.

And yet people persist in different theories why it is so. I don't know the mechanism, but randomized, placebo-controlled studies currently are gold standard in medicine. Their results are much more trustable than many observations studies. Sometimes we cannot do randomized studies and observational studies is all we can do but if if we can and research report only observational studies, I take with a big dose of salt.