I am wondering why Vanity Fair, which is a proper noun and must be capitalized, is not in the two examples given?

well, if you read on, "Through the allusions and metaphors in them we'll visit lands afar." in other words, in the two examples given the reference is not to a specific Fair, but alludes to "a place characterized by frivolity and ostentation." it's just *not a proper noun in these instances.