You have a levels problem. I don’t know about the specifics of WMV, I have never encoded to it, but for output with Sony AVC or Mainconcept AVC and most video players the video data needs to be in the studio range. Not full range. It sounds like WMV wants full range. Different encoders may want different input values.
If the video data is full range with AVC MP4 then the video player will expand the already full range data and your blacks will be crushed and highlights clipped.
If your video data is in studio range already. Then the vegas preview will need an adjustment to computer levels for accurate display and the encode to AVC MP4 will not want the adjustment to computer levels.
To verify what you camera outputs you need to use the video scopes. DSLRs and GoPros output full range. Other cameras I don;t know.