I ran the first wing Nerub-Ar on my mage last week and after logging in, no loot in the vault.
I killed all three bosses, I saw the notification telling me I had unlocked the vault after killing the second boss.
I have tried the suggestions someone posted in a similar thread about delves. I disabled the only addon I run, reloaded the UI and quit/restarted the game and nothing worked.
My Paladin who ran delves and LFR got loot.
My Hunter and DK who only managed the Delves progress got loot.
But absolutely nothing on my Mage.