Sounds like you’re doing it correctly. 
But if you don’t make them different, then I would expect Zemax to just use the same ones for each config.  So it might be a bug, but maybe not… 

Thanks for the reply!

I wouldnt call it a bug...I guess it could be a feature which could be improved. Maybe it has been improved, but my company runs V.16.5...so…

I guess I could ask for one more thing, once this multi-config with vig are set up. Then even in optimization the system parameters will all be considered? Rather than just current active config? I think this is quite a basic requirements for zoom system optimization?

Yes it should account for the different vignetting during optimization. 

If you’re simply using the Set Vignetting command to automatically calculate the vignetting factors during the optimization process, you can simply use SVIG after each CONF operand.  This will temporarily run the Set Vignetting command for all defined fields & all subsequent operands will use the temporary vignetting factors.  I would also use CVIG before a new CONF just to reset the temporary vignetting factors to 0 before proceeding to the next configuration:

Remember to always remove your vignetting factors and replace them with hard apertures during your final analysis.  There are very few final systems which actually need vignetting factors after the optimization process.