With Grub installed, you do not need the Vector-installed Lilo at all. I migrated to Grub several years ago, since I could not work out any easy way of making Lilo boot multiple distros (I know it can be done, but it has always been a pain when I've tried it).
At present, I have Windows (Vista, unfortunately), Zenwalk 6.0, Vector 6.0, Vector 5.9 and a (currently badly broken) Zenwalk snapshot on the machine. I use the Vista boot loader as the primary boot selector, with a choice of Windows or Linux. When I select Linux, it passes control to a copy of Grub installed to the root of the partition that I use as /boot for Zenwalk 6.0. From there, I use Grub to select whichever distro I want to use.
My entry for Vector 6.0 is as below (the drive in the laptop is SATA, so all partition designations for Linux are sd?):
title Vector Linux 6.0
kernel (hd0,8)/boot/vmlinuz-126.96.36.199 root=/dev/sda9 vga=870 splash=silent ro
The initrd combined with 'splash=silent' should give you a splash screen during boot (doesn't work for me, since VGA=870 sets the screen resolution to 1280x800 for the widescreen laptop and breaks the splash screen - one day I'll get round to making a set of 1280x800 splash screens, but not today....)
Done that way, I only ever install Grub once. It will boot all the copies of Linux that I want, so I always try to skip the install of a boot loader for each distro that I install. Fortunately, Vector allows me to select not to install Lilo - some other distros are less obliging.
You should be able to modify the Grub menu.lst to take care of both starting Vector and providing you with the boot splash screen on startup.