The study by Gepner et al. [1] did not find any benefits of vitamin D supplementation for any cardiovascular disease risk factors. The likely reason is that the mean serum 25-hydroxyvitamin D [25(OH)D] concentrations in this study were too high to observe an effect from vitamin D supplementation. Those in the supplementation arm were given 2500 IU/d vitamin D3 and had a mean increase in 25(OH)D concentration of 15.7 ng/ml from a baseline concentration of 30.3 ng/ml. In a graphical meta-analysis of cardiovascular disease relative hazard ratio, it was found that there was no improvement for 25(OH)D concentrations above 30 ng/ml [2]. There were, however, rapid improvements in going from 8 ng/ml to 20 ng/ml. Thus, had the studied population been vitamin D deficient, it is very likely that an effect would have been observed, assuming that the effects of vitamin D could be seen in a four-month period.
A paper explaining why randomized controlled trials of vitamin D sometimes fail has just been published [3]. The figure in this paper points out that it is important to have subjects in the proper range of 25(OH)D concentration to be able to observe a physiological effect.
Hopefully a similar study will be conducted with people with a starting serum 25(OH)D concentration of about 10 ng/ml.

References
1. Gepner AD, Ramamurthy R, Krueger DC, Korcarz CE, Binkley N, Stein JH. (2012) A prospective randomized controlled trial of the effects of vitamin D supplementation on cardiovascular disease risk. PLoS One. 7(5):e36617.
2. Grant WB. (2011) An estimate of the global reduction in mortality rates through doubling vitamin D levels. Eur J Clin Nutr. 2011 September;65:1016-26.
3. Joan M. Lappe and Robert P. Heaney. (2012) Why randomized controlled trials of calcium and vitamin D sometimes fail. 4(2) epub http://www.landesbioscien...