I think I'm going to do a study re opponents' PP% after Vanek penalties. I'd venture a guess it is at or around 40%.
Sabres have killed off 18 of Vanek's 23 penalties, making opponents' success rate 21.7%.
Your impression is probably colored by the fact that in the New Year, opponents have scored three of the six times Vanek has taken a penalty. I'm not counting last night, which felt like a power play goal.