Set Marketplace Integration to get Orders

In Settings > Sales Channels, after selecting the channel type (Amazon, etc.) then selecting the channel by clicking the first mini button to Edit.
 
Credentials
Check active so that is turns green
Check Get Orders
 
Stock Control
Check auto sync stock (if you want Helm to manage stock for the integration) so that it is also green
Shopify Specific
To get shopify to send emails to customers when order is despatched the 
Notify Customer setting needs to be checked within Credentials tab