Why wouldn't he have gone to get Goku and them? He can detect that they are not dead and think "hey maybe they were protected".
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May not have the time to do it. Or assuming he was powering through suffocation he may have been in the process before Whis went back in time.
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He is supposedly ftl, so he could have reached them in milliseconds.
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Don't forget this is the show that took 10 episodes for 5 minutes to pass, and made Goku and Piccolo take a driving test so forgive a little odd inconsistency. Plus if he's suffocating he probably is having a hard time concentrating. [spoiler]Plus he's not Goku.[/spoiler]
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Edited by Edcub One: 3/30/2016 1:37:11 AMHe is Goku's equal more or less. I survive without oxygen for quite a few seconds without it effecting my thought process, so someone as athletic as Vegeta can certainly do better.