Please check vendor's permission here...
http://admin-demo.nopcommerce.com/Admin/Security/Permissions
http://admin-demo.nopcommerce.com/Admin/Security/Permissions
Vendors already have "Manage Orders" permission. But the feature is restricted. They can only see orders that have their products in them. And, they can only see their own products when they manage those orders; nopCommerce allows multiple products from different vendors in the cart. So, you can't have the Vendor change the order status unless you customize so that they can do so if the order only contains their products. It would probably be better to customize that the order status is automatically set to Completed when all the items in the order are shipped, since the vendor can manage shipments ;)