"if you do that there is no way to add the tracking numbers to the other two items"

To add tracking numbers to the other two items, click the three-dot button and select "Add Tracking Number". The screenshot is from an order like this.

"therefore those items shows not dispatched"

To mark them as dispatched, click the same three-dot button and select "Mark as dispatched".

"Also these items are not covered by Ebay protection program only the first item would be covered."

I didn't know that. Thanks for sharing. Even though, especially for a low-price item, I'm willing to take the risk and keep my customer happy.