I am using PEX (I even tried zPerms)
However, problem is that as Owner/Admin I have - '*' permission and no matter if I put - vanish.effects.toggle.all or - -vanish.effects.toggle.all, In both case it seems like no effect. I have set myself as OP.

Your issue is permissions. Don't grant every single permissions node ('*') if you don't want every single permissions node.

Consult the PEX documentation on negation, if you truly don't want to remove the node causing you trouble.