Vanguard's brokerage account lets you do commission-free trades of Vanguard ETFs. Outside purchases have a per-trade charge. So if you're going to do a fair amount of Vanguard trading it's a good idea to do it through a Vanguard account to save money. If this is just a one-off small holding, you might be better off keeping all your accounts consolidated in one place at Scottrade.
I don't use ETFs myself but I'm 99% sure the expense ratio on a ETF works just like a mutual fund: it's a disclosed number that slowly eats away at the price of the equity. You will not ever be directly charged that 0.12%, you'll just see your shares worth on average .01% less per month than if Vanguard were somehow able to do it all without having to pay a dime.
And holding an ETF for just one month to "see how it does" isn't going to be very illuminating. This month it could go up 10%, it could go down 40%, but what's important is where it will be 10 years from now which has almost nothing to do with the first month's performance.