You're just making too many assumptions.
Zen Cart collects shopping cart contents from the customer, then asks for address/shipping info, calculates shipping and taxes, and then since you've elected to use SIM which cannot capture payment directly while on your site, it must redirect the shopper to a completely different website, wait for the customer to do whatever they're asked to do there (ie: enter credit card information) and then return to your site successfully, and only THEN is the order saved in your store and emails sent to confirm the actual purchase details/contents. If they don't return with a "success" code from the offsite gateway, then they're sent back to the checkout-payment page and asked to select another method of payment, and of course no order is stored until they provide a successful payment.
So, since you've said the payment is collected successfully by an external site, but not completed back on your site, then that means something's going wrong at the point of coming back from the other site to yours, and you need to figure out what's going wrong in that stage.
Out of the box, the built-in SIM module works just fine. Maybe you've added addons or customizations that have broken normal operation, or you've not configured the SIM module and your authnet SIM settings correctly as per the tutorial guide I mentioned earlier.
Or, you could simply avoid all these offsite hassles by using the AIM module instead. It's the Advanced Integration Method, which allows customers to enter credit card details directly on your site, without ever having to leave your site to complete payment. It's a much nicer seamless experience for the customer, and not subject to the many complications of waiting for something to happen externally without having any control over what's going on.
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