I think the OP is correct to call $V^d$ as a vector field rather than a vector. Say we define covariant derivative
$$ \nabla_X Y$$
Then, while evaluating the covariant derivative at a point $p$, it is fine for $X$ to be a vector at $p$, but we would need to know the behavior of $Y$ in the neighborhood of $p$ to perform the derivative operation. Hence, $Y$ needs to be a field (e.g., see this, where $Y$ is required to be a section of the tangent bundle).
However, I think $V^d$ (in the question) is not the vector that is being parallel transported as such $\nabla_a V^d \neq 0$, and therefore, the Riemann curvature is not zero as well.
Edit
I'm going to refer you to Wald (GR) chapter 3, Pg 37, for more info. But let me explain my above comment in more detail.
To quote Wald, "we first define the Riemann tensor in
terms of the failure of successive operations of differentiation to commute when applied to a dual vector field", i.e., we define a tensor at a point $p$ as
$$ \nabla_a \nabla_b \omega_c - \nabla_b \nabla_a \omega_c$$
As you can see, this is a (0,3) tensor. Moreover,
$$ \nabla_a \nabla_b - \nabla_b \nabla_a$$
can be seen as a tensor that feeds on $\omega_c$ [ a (0,1) tensor] and returns a (0,3) tensor $\nabla_a \nabla_b \omega_c - \nabla_b \nabla_a \omega_c$.
Now, what tensor can consume a (0,1) tensor (i.e., a dual vector) and return a (0,3) tensor? The answer is that it is a (1,3) tensor, ${R_{abc}}^d$. In more detail
$$ {R_{abc}}^d: \,\, {\rm dual \, vectors} \rightarrow (0,3) \,\, {\rm tensors}$$
$$ {R_{abc}}^d: \omega_d \rightarrow \nabla_a \nabla_b \omega_c - \nabla_b \nabla_a \omega_c = {R_{abc}}^d \omega_d$$
So far, note that we have not yet talked about parallel transport at all.
Subsequently, Wald shows that ${R_{abc}}^d$ is directly related to the path-dependent nature of parallel transport, specifically, the failure of a vector to return to its original value when parallel transported around a small closed loop around $p$."
One can reduce ${R_{abc}}^d \omega_d$ to your form as ${R_{abc}}^d g^{ae} \omega_e = {R_{abc}}^d V^a$ but again $V^a$ is not parallel transported. It is some other vector that is transported along the loop while ${R_{abc}}^d \omega_d$ is evaluated at point $p$ only. It happens to be that if ${R_{abc}}^d = 0$, then the operation of parallel transport does not change the vector once it returns back to point $p$.