There isn't any inherent technical or quality reason with rendering to and from the same drive, provided the drive is fast enough to read and write the data simultaneously. If there were a problem, it would manifest as jerks or skips in the rendered video, not in darker-than-normal scenes.

And if you're capturing from a DV device using FireWire, there's absolutely nothing you can be doing to screw up the capture (well, other than having a slow drive that drops frames); it's simply a dump of digital data with no image processing whatsoever.

So my guess is that somewhere in the bowels of Vegas or Premiere (whichever you're using), you've got something set that's lowering contrast or brightness or something on what you're viewing. If you want to try one other test, you can take video that you've captured from the camcorder as an .avi, and output it and write it back to the camcorder on a fresh tape, then view the tape. My guess is that you'll see video that's the same quality as the source. If you do, then it's definitely something in the settings of either your editing tool (Premiere or Vegas) or perhaps in the settings for your monitor or monitor drivers.

Vegas and Premiere are incredibly powerful and flexible, but the cost of that is they're also full of switches and adjustments, so it's entirely possible that something just got tweaked by accident. In that case, if you get too annoyed with it, having someone that knows the program you're using come over and take a look might save you a lot of time and frustration.