There is no garbage collection like in Java. If you allocate memory by yourself (using malloc or the like), you will have to free it yourself, too. If you allocate memory by creating predefined data types (such as VECTOR, ENTITY,...), the engine will handle to free the used memory when the function ends or when you close the application.
The vector command does not create a new VECTOR, there are (approx.) 32-64 vectors that are used consecutively.