What you’re seeing is expected, annoyingly: the “Split shipping” toggle only controls the customer-facing checkout option, not Shopify’s backend logic. Shopify still creates separate fulfilment orders whenever items are stocked at different locations — the toggle doesn’t change that.
Realistically there are two fixes: make sure each order can be fulfilled from one location (items bought together are stocked together), or force the whole order onto a single location after it comes in, before it reaches your ERP. The second is where my app Advanced Fulfillment Rules helps, you can have a rule assigns the entire order to one location.