OK-
I did that test. When I purchased from the vendor shop I set up, as a guest vendor, the transaction- including shipping- went as expected. I was charged $2 shipping.
I checked wp admin > commissions and the vendor (annawcv) received the shipping and the proper commissions. Order #4648
1. set default shipping rates on the admin level in case your vendors don’t set their store default rates: wp admin > woocommerce > settings > shipping > vendor shipping
2. Ensure your vendors all have set their store address (pro dashboard > settings > store )