Under the Invoices & Shipments tab, you can set M2E Pro to automatically create invoices and shipments in your Magento. You can do it by enabling the following options:

Invoices

• Magento Invoice Creation - enable to automatically create Magento Invoices when payment is completed.

Shipments 

• Magento Shipment Creation - enable to automatically create shipment for the Magento order when the associated order on Channel is shipped.
• Skip eVTN - set Yes if you want to exclude eVTN from your Magento orders.