On a single order, it is possible to order from different vendors. However if one vendor changes the status for their part of the order, it changes the status for all vendors.
There are two possible solutions, 1. Allow only 1 vendor per order. I did not see a way to enforce this. 2. Change the coding for status change on the marketplace front-end. I see that in the database there are separate entries in the the wp_wcfm_marketplace_orders so it should be possible, I will just have to dig into the code.