It is because they hold the site manager role, essentially they can already enter the courses, so the enrolment is not created when they launch the course.
Because they're not enrolled they are not tracked for completion.

This is a known issue with the program enrolment plugin, as it is not designed to give access until the learner launches the course, and it relies upon the user not already having access.
In your case the immediate workaround is to manually enrol the user in the course.
As they are a site manager they can do this themselves by default.

I don't imagine this will give you the behaviour you expect however.

Unless you have modified the roles the site manager is privileged role that can administer many parts of the product, including the courses and activities.
When the site manager is enrolled as a learner they will be tracked for completion, but because they have the site manager role they will be recognised as a privileged user and will be shown the trainer interfaces rather than the learner interfaces in many areas of the product.
As such their experience as a site manager and a learner will differ greatly from your average learner, and in many cases they may not be able to take learning as they are recognised as a site manager.
It should be noted that for security reasons we would also advise against making the site manager a learner.

The best solution depends upon what you are trying to achieve, and what your site manager is responsible for.

Kind regards
Sam Hemelryk