Loop Block with execution doesn't persist
IMHO just a single UPDATE can solve your issue. Something like this:

UPDATE "Vendas"
   SET "EhConsumoProprio" = TRUE
  FROM "ItensVendas"
 WHERE "ItensVendas"."VendaId" = "Vendas"."Id"
   AND "Vendas"."Especie" = 'NFE'
   AND "Vendas"."ClienteId" IS NOT DISTINCT FROM 0
   AND "ItensVendas"."CodCFOP" IN (5949, 5927);