Vegas Video will automatically render whatever is on the timeline as 'one whole thing' if you uncheck 'render loop regions only' when that comes up in the render window.

[one way to remove gaps]
If you're still editing there are many ways to join events. Personally, I just got in the habit of dragging events back and forth on the timeline if I've been doing purning. If you'll notice each left edge of an event if seperated from the pack has a dark blue triangle. If you drag the event left and dock with the ajointing event that triangle will merge with the triangle on the right edge of the next event with the two forming a larger ligher color triangle.

[moving as a group]
Left click on each event while holding down the Ctrl key. They will move as a unit. Any gaps on track will remain as is

[making a group]
Same as above, continue on, right click, select new group.

[locking]
To lock events at their position on a track, right click on a empty area of the event, select switch, lock. The event operated on will become grayed out and no longer move, unless you unlock again.