How to convert grid to vector in SAGA?

As commented by JonasV, Vectorising Grid Classes is the tool.

Adding to that, you would need to reclassify your grid so that the tool can identify the class to vectorize.

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A workflow I would suggest:

Let's say I have a grid which background value is 0 (yellow) and the objects (red~ light blue) are represented by positive value (up to 16.2195).

(1) Start Reclassify Grid Values tool (Geoprocessing > Grid > Values)

Select simple table as the reclassifying method, and set the look-up table. Remember the class number (in my case it is 2) which correspond to the objects' value range.

(2) Start Vectorising Grid Values tool (Geoprocessing > Shapes > Shapes-Grid Tools > Vectorization)

Select one single class specified by class identifier and set class identifier.

(3) You will obtain the polygons (multi-polygons) encompass the designated grid class.