Horizontal pleiotropy is always a concern when analyzing MR studies, and I agree that this one does disappointingly little to preempt this criticism. I also agree with your point that causal loops aren't a concern here - vitamin D deficiency was measured pre-COVID, so there's no reason to think that COVID influenced that measure.

I generally question Mendelian randomization (MR) results by default as well, but I do think there is good MR research out there. Some positive things to look for (IMO): attempts to quantify (or at least discuss qualitatively) horizontal pleiotropy (e.g. by looking at known human protein-protein interactions), attempts to mitigate the effects of horizontal pleiotropy through methodology (rare, not sure if I've actually seen this in papers with more exciting results, but an active research area), and attempts to quantify causal loops / elucidate the broader causal structure.

There's also a fair bit of general research on the reliability of MR results [1, 2] which may be of interest to readers.

Additionally, there is a false intuition among people who regularly conduct association analyses but not MR studies that horizontal pleiotropy can only serve to increase the causal effect size. However, this is not true (mentioned in [2] but better elucidated mathematically in the instrumental variables literature): negative results (such as the one posted) can be induced by horizontal pleiotropy as well (of course, not saying that it was).

[1] doi:10.1038/s41588-018-0099-7

[2] doi:10.1093/hmg/ddy163