The EnterNode constraints force exactly one arc to enter any node (including the depot node 1) that is visited. The solution_data does contain one arc into the depot for each vehicle that is used (look for the value 1 in the j column), and these arcs appear in the PROC SGPLOT output. I suspect that you were looking at the Flow variables instead of the UseArc variables.
By the way, I will have some news to share about VRP very soon.
Update on 2/17/2021:
See this subsequent post for the news.