Actually you do — if the post-processor isn’t enabled to allow tool changes, Vectric won’t allow you to output a single G-Code file with multiple tools.
@mbellon worked up a post-processor which has this feature enabled:
available here:
https://wiki.shapeoko.com/index.php/File:Carbide3D-Nomad-Inch.pp.txt
(you’ll need to rename it)
installation instructions: Shapeoko CNC Router, Rigid, Accurate, Reliable, and Affordable