When an order is completely refunded, Magento sets its status to "Closed". But when an order is partially refunded, the order status becomes "Confirmed". I checked the source code and it appears as a deliberate logic decision. Why an order should be "Confirmed" if partially refunded? What is the reason behind that decision?
Basically with this, Magento is telling you there is still something left to do with this order.
The order state 'Complete' means you can't do anything with the order anymore. Is has been fully handeled. After a full refund, there's nothing else that can be done anymore. There is no need to create a shipment, no need to create an invoice, no need to create yet another refund... it's complete.
Changing it's state to 'Confirmed' tells you that it's still possbile to perform another action on the other, for example creating yet another refund, a shipment or an invoice, based on which of these 3 should still be possible to happen.