Broker can't invest in Vanguards. Should I open my own account?

I have a broker at Morgan Stanley who I primarily invest with. Having maxed out my 401k and IRA, I give him the remainder of my savings to invest.

I had thought to send him some money to invest in a Vanguard Target fund or some index funds (VHDYX or maybe VTSMX), but he told me today that Morgan Stanley must not have an agreement with Vanguard because he can't invest in those for me.

Are Vanguards worth opening my own account? Is it smart to have multiple accounts like that? Are there any alternatives with similar low fees that people recommend?