What's a vector layer?

Anyway, the shape should close unless you accidentally clicked away and started a new line without realizing it. I've done that many times before.
You can press the END and HOME key which will show you the current start and end node of the selected line. Once you know which are which, you can drag the END node to the START node to join the shape, or press ENTER, or select either the END or START node and continue.