Encontrou este trecho de zenburn.vim
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" * Work-around to a Vim bug, it seems to misinterpret ctermfg and 234 and 237
" as light values, and sets background to light for some people. If you have
" this problem, use:
" let g:zenburn_force_dark_Background = 1
if exists("g:zenburn_force_dark_Background")
" Force dark background, because of a bug in VIM: VIM sets background
" automatically during "hi Normal ctermfg=X"; it misinterprets the high
" value (234 or 237 above) as a light color, and wrongly sets background to
" light. See ":help highlight" for details.
set background=dark
endif
Para corrigir isso, basta adicionar
set background=dark
até o final de desert256.vim
após todo o destaque.