This is not as strong a conclusion as it first sounds, for two reasons.
1. This says nothing about Vitamin D as a cure once you got infected. It might work, or it might not, but this study simply does not address the question at all.
2. Correlation (in this case the word used was "association") does not mean causation. A simple example would be something like this: people deficient in Vitamin D are more likely to spend a lot of times indoors, where the transmission of the virus via aerosols is higher. People who spend a lot of time outdoors will get both more Vitamin D and less exposure to the virus. So, if you supplement with Vitamin D but you spend a lot of time indoors, you might, or you might not get higher protection, but this study does not say it.