Hi
You are doing nothing wrong, Videopad will finish playing the sequence on a black frame.........full stop! 
Whether or not this is due to the way the program plays a video clip or whether the programmers have this set as a default, I don't know but as a user you can't change this action and make it stop showing just the last frame. You could suggest to NCH to put it on the wish list for a later version, but currently it's a black frame.
As far as the help files go, there is a main help page with links to the various procedures that are used in Videopad and should be pretty comprehensive. If you come across something that you can't figure out, someone here can usually help.
Nat