He isn't dumb, but he wasn't at his best at that moment.
Perspective: The character had been arrested in Bhagdad as a Roman spy, a story put forth by our group's enemies to obstruct us. He'd gone ahead, alone, ostensibly leaving the party. The DM at the time (not me) used him as a plot hook, and we had to break him out.
In a world where the Teleport spell is pretty much unknown (agreed upon magic limit from day 1), prison cells actually work. He was rescued, but without gear. He didn't have his holy symbol, a pair of shorts, or any fingernails when we got him out. No divine focus means no spells for a Cleric.
From there we got ambushed as we fled the city, and in the fight an enemy Fireball, followed by an Ice Storm, hurt us and killed all our horses. We lost our party Rogue (An NPC gone missing, not dead), and though we won we had to get out of there pretty fast.
At that point I took over as DM for the Holiday special dungeon. They used a magic item to summon a stone horse (Figurine of Wondros Power, based on the Marble elephant), and had it pull the small cart that belonged to the Rogue. Those Con drained by poison got loaded in, along with gear from the dead animals, and the party took off. They left the main road just as soon as they could, rolling through the collection of huts and tents that tend to build up around a walled city. They left that area as quickly as they could, since they could be tracked and were a fairly memorable group, and there was still a reward on their heads.
That night they decided on a dark camp, and decided to avoid local farmhouses. Instead they found shelter in a stand of trees, where they rode out a sandstorm. Everybody took some damage from being sandblasted, and those on guard duty took more.
Next day they staggered into a small village, with the Merchant's house dominating. They needed horses, and a place to rest.
The Merchant's household welcomed them. When the Merchant found that they were in need of horses, he offered to sell them some from his own stable. They discovered that he was a trader in "exotic wares", including large predators and fighters for the arena, but also in rarities and magical paraphenalia. They took the opportunity to sell off some loot, buy a few spell scrolls, and yes, buy some horses.
The Cleric, in borrowed clothes, had been driving the cart, and chose to play the part of a servant. He ate with the servants, and stayed in the servant's quarters.
When someone mentioned that he was a holy man, the merchant invited him, gave him fine clothes, and had his head servant dig up an appropriate holy symbol for him. One thing that put them off the servant as a Vampire was the fact that he handled the holy symbol, and didn't hesitate to provide it. By the rules, he'll recoil from a strongly presented holy symbol, but takes no actual damage from one, so handling it was safe for him.
That night the Cleric did a Call Lightning for the Merchant, targeting the lightning rod on the tower. Cries of "It's Alive!" soon followed. The Cleric and the Cleric Fighter decided to keep an eye on the Flesh Golem that had just been animated, one in the chamber with the Merchant, the other outside the door.
At about Midnight the head servant brought up food and drink, and all but ordered the Merchant to eat something, acting like the mother hen in many ways. This was when he took the Cleric/Fighter. Failed Save, and he was drained of 2 Con points worth of blood.
Next day, having stood awake all night, after two days of running with no real rest the night in between, the Cleric/Fighter's player was informed that he was exhausted and needed to rest. He was told of the Con loss, but the other Cleric did a Cure on him before he did any Heal check that might have shown bite marks. So a key bit of evidence was missing.
Th Cleric's aid in calling Divine lightning (Something the Merchant, being a Sorcerer couldn't do), made the Merchant so happy that he knocked 10% off the prices of most of the goods he sold them. (The value of that spell, according to the table for hiring spellcasting services, was essentially taken off their collective bill.)
Rather than drag out more detail, suffice it to say that I created a place with a safe enough vibe, and enough interesting things going on that the players saw fit to split up and pursue personal interests while they and their companions recovered from a really rough couple of days.
And splitting the party, when there's a Vampire around, is a really bad idea. That's why Vampire's encourage it.
Were they suspicious? Of course. They knew it was a Halloween dungeon, after all, and they've played in my games enough to know that there are always plot twists. But one common comment around our table, no matter who's DMing is, "If the DM has gone to all the trouble to set up such a neat trap, the least we can do is fall into it." It's a "sporting" kind of attitude, and it kind of works for us.