I would say the effect sticks to the creatures who were near the Sorcerer at the time the vulnerability was tossed out, and doesn't travel with them. So in your specific case, even though the Sorcerer isn't around, you'll still take double piercing damage. This also means that the Sorcerer running up to an enemy who wasn't effected will not make them ...
Let’s remove the descriptive stuff from the sentence:
Starting at 1st level, you can manipulate the forces of chance and chaos to gain advantage on one attack roll, ability check, or saving throw.
Who gains advantage? You do.