I went to the first artefact vault in my territory scanned it and something popped out. But what the hell do i do with that? I cant send transports. and scanning does nothing. I cant collect it. I tried shooting it and it just poofed. What am i supposed to do with it?

The artifact vaults yield skill and perk points when scanned. That's pretty much all there is to it, no further action required. You can shoot the remains, but that doesn't seem to do anything.

Well if it makes your inner child happy, by all means - blow up the thing! :D Not sure what popped and poofed from Artefact vault? Will try to recreate it.

Maxim 37: There is no "overkill." There is only "open fire" and "I need to reload". Also Maxim 1: Pillage, then burn. The effect around the vault disappears, also you get the green notification that you gained something. With the effect gone, it looks like something has spawned, but as far as I can tell it's only the vault object itself.