If you print a batch using the Print Batch with Integrated label you can then press the yellow Despatch Batch to mark orders as despatched. However if you just want to print Batch PDF Courier Labels that function doesn't work meaning you have to do the Print Batch with Integrated label function just to update the status of the orders.
Strange as I create a batch, generate courier labels, print batch pdf courier labels and then click despatch batch. We had thousands of t-shirts to send out last week and used this method time and time again (there were labels everywhere!) so not sure why that's not working for you.