Hello,
WC Vendors does not change the status of the order and will not change the status of the order. There will be an option in pro soon to auto complete orders when everyone has marked as shipped but right now you have to manage the completion of the orders in the admin.
Just because there is only one vendor in the order doesn’t change the fact that multiple vendors can be in an order which means without confirming all items are shipped the status will not be changed.
Auto completing orders will be a feature in a later release of pro though, so keep an eye out on our changelog for when the feature is added.
cheers,
Jamie.