There was an actual randomized trial that came out recently [1] where hospitalized patients were given extremely large doses of Vitamin D (explanation of equvalent doses [2]) and it dramatically reduced ICU admission.
This supports the idea that Vitamin D helping with COVID is probably causal rather than just a correlation.
One should not leave out the important part "pilot study". As said by the authors in the conclusions themselves, it still requires a larger one to give definite answer.
I agree that a larger N would be preferable, but the effect size was enormous, and so the P value was <.001. Therefore, IMO, it's very likely that Vitamin D has a causal effect. Given that Vitamin D has at least some causal effect, it's much more likely that the observational studies that show a correlation are due to causation.