In episode #55 of the Dragon Ball Super manga,
We confirm that Vegeta doesnt know instant transmission and that a Yardrat offers to teach him the technique
Also in Dragon Ball Z, after defusing with Goku, Vegeta says that they have given quite a strong beating to Buu as Vegito. So he remembers, he can see and feel what happens when he's fused with Goku as Vegito. Then,
Why Vegeta doesnt learn Goku's instant Instant Transmission if he can see it, feel it, and remember it when he's fused with Goku as Vegito?