If your team is creating the Sales Orders via the backend, there is a solution that may work.

Via CONTEXT, you can set the "Active" field on the newly created Contact to be FALSE, so that it is archived by default.

Do this on the partner_shipping_id field so that newly created addresses (created inline while the Sales Order is being created) are not visible without explicitly filtering for archived records. 

Nope, this is how Odoo works. When you add a new address Odoo forces you to add a new contact record to the original contact record, of type Delivery. FOr what it's worth, most general eComme/ERP systems do this. Some look a little different and the UI makes it look nicer. but they're doing the same thing, creating multiple sub-records to the main record.