None of the work-arounds worked for me either. Based on the response got from Shopify support, if the order isn't shipped it is not considered a fulfilled order and it will cause problems in the records later on to fulfill the order before refunding it whether partial-refund or fully refunded. So I guess we just have to leave it as is and work with it. I believe that, if it is refunded why not remove the Unfulfilled status which shows that there is a possible open order?
I'm a little grouchy today so I'd rather not chew out a support person for something their product team is neglecting to fix. Were you able to find any other solution than just ignore it? I offer custom art, if the person never sends me their photos for their artwork, I refund and cancel the order. And now I'm sitting here trying to fulfill Christmas orders and it's driving me CRAZY to have some in that list that I can't remove.