As you know, you were not supposed to leave Vietnam while you visa was being processed. You decided to do so anyway. Now the embassy for some reason has belief you are not there and wants proof that you are still there. Even if you go back, they might later ask for each page of your passport, which would show exit/entry stamps.
What makes it confusing though, is the embassy might already think the SETV has been used and therefore no longer valid. Not clear if they have access to the immigration database. With the METV, it is usually issued by MoFA via an embassy and since it is multi-entry, they can clearly know it is still active until the expiration date comes. I believe the only way they would know is if they asked to see every page in the passport and see that he didn’t enter on a SETV
There is a possibility that the embassy won’t issue a DTV, since they can see that you have a tourist visa. However, not sure if they can see if it was used or not, so not sure