With introduction of v1.3.0 of the BC Vault Desktop Application you get a warning if you have wallets that were not backed up.

Image: Status notification, when not all wallets are backed up

Wallet will be considered backed up once you do a backup to microSD card, but not when you do paper QR backup. This is due to the fact, that application has no means to know if the paper QR backup was successful (printer not working, paper jam, bad ink....), where microSD backups are verified once they are written to the card.