I would try washing off the Vick's with warm water and the gentlest soap or shampoo you have on hand. Be sure to dry him thoroughly, so he doesn't get chilled from the damp!
Is he eating and drinking? If you offer him treats, is he interested? If so, I would leave him be for a day or so, and see what happens.
The spot where he insists on sleeping, does it happen to be directly under the light? He might just be loving the warmth. Be sure to keep his box extra-warm, since he's all naked, and doesn't have anyone to snuggle with.
I would think that if his problem was loneliness, he would be cheeping up a storm. I know that when my chicks were that age, if I took one of them away from the rest, they cheeped so loudly that my ears would ring.