Actually when a VRP analysis is being made, the capacity of orders of the depots are unlimited. This isn't happend in real live, so I think is a parameter that should be taking into account to make these analysis.
I know this is a few years old, but i also have the same problem.
I have a waste pickup truck that starts/returns at "Depot A". Depot A is a truck depot - it is not an unloading site. It is only where the truck is parked.
I have established a Route Renewal site and associated it with the truck - this is the only location the waste can be unloaded.
However, after the last visit to the Route Renewal site, the VRP solver continues to pick up waste and takes it to Depot A on it's way back.