No, you are missing nothing, From Workflow has been removed in v9, in Purchase Order process, so each time we manually have to set Purchase Order in Done state.

Thank you for the comment. I wonder what would be the motive to turn it into manual. But, what if the purchasing user and the invoice paying user are two different users, who has the responsibility to to close (Set to Done) the purchase order? If the purchasing user is responsible, how would he/she do it? there is no indicator about it is all paid.

I'm thinking of writing code to change the status of purchase order to Done when registering payments and all paid. Would that be a good idea?