Where does it come from? Jeffrey Friedl examined the problem of decreasing saturation with increasing brightness in another excellent technical article on his blog. But if you're shooting raw and use digital processing, as long as you make a proper exposure (that is: don't blow out the highlights!) and expose to the right, you will most likely get a better result if you expose your sunsets normally and correct them in post.
Just following the exposure recommendation of my camera, I get a "close to perfect" exposure in this scene:

As shot (FinePix S5Pro, 10s @ ISO 100; f/11, 24 mm DX)
As you can see - the shadows are partly blocked, OK, but the important thing is: the highlights are not clipping. The red channel goes all the way to the right. It's simply sweet what the S5pro did here in Aperture priority mode.And we're digital... we can always make a scene darker or brighter... the problem is: if you make the shadows brighter, there will be noise. But if you make the lights darker (just remember: only as long as they're not blown out), there is no such problem, because there's more detail data in the lights (the explanation for that is in one of the links in this older post here). So, from this very good exposure, we can easily adjust the scene to match the vibrant colors so that they're more like what we actually saw that moment after sunset.
Please look at the smooth color transition in the sky. There's not the slightest hint of color banding (blocky artifacts, sometimes also called posterization), the gradient is smooth as silk even in the areas where the sky is pretty dark now (any artifacts you see are purely from downsizing and JPEG compression):

Post processed (FinePix S5Pro, 10s @ ISO 100; f/11, 24 mm DX)
All the adjustments have been made on Lightrooms "Basic" panel as you can see on the right. The most important thing to notice is that the Saturation and Vibrance have not been increased! The beautiful red glow of the post-sunset sky came back automatically with the exposure compensation that I applied after the fact in Lightroom.I added a lot of Fill Light to compensate for the hefty -1.5 exposure compensation to bring back just the tiniest idea of some of the shadow detail in the sand. Had I dialed in that -1.5 exposure compensation on scene, there would be no shadow detail left in that area, and all I'd get would be some grainy noise. This scene is not the best example for that, I admit it... :-)
If there's one conclusion that I can draw from this it would be, once more: shoot raw! :-) But nevertheless, I believe that the same adjustments would yield in similar results when used on a properly exposed JPEG.
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